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A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependenceh

Mai, Jan-Frederik; Blagoeva, Aleksandra; Scherer, Matthias - In: Frontiers of mathematical finance : FMF 2 (2023) 4, pp. 522-553

Persistent link: https://www.econbiz.de/10015374119

On the estimation of distributional household wealth : addressing under-reporting via optimization problems with invariant Gini coefficient

Engel, Janina; Ohlwerter, Dennis; Scherer, Matthias - 2023

The Household Finance and Consumption Survey (HFCS) provides valuable information for the monetary policy and financial stability purposes. The dataset shows, however, inconsistencies with National Account (NtlA) statistics, as the aggregated HFCS micro data do usually not match the...

Persistent link: https://www.econbiz.de/10014482886

Portfolio optimization for credit-risky assets under Marshall–Olkin dependence

Mai, Jan-Frederik - In: Applied mathematical finance 26 (2019) 6, pp. 598-618

Persistent link: https://www.econbiz.de/10012210432