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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
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Portfolio optimization in a multidimensional structural-default model with a focus on private equity
Escobar, Marcos; Hieber, Peter; Scherer, Matthias; … - In: The journal of private equity 15 (2011/12) 1, pp. 26-35
Persistent link: https://www.econbiz.de/10009410763
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Risk mitigation services in cyber insurance : optimal contract design and price structure
Zeller, Gabriela; Scherer, Matthias - In: The Geneva papers on risk and insurance - issues and … 48 (2023) 2, pp. 502-547
Persistent link: https://www.econbiz.de/10014326502
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Pricing insurance contracts with an existing portfolio as background risk
De Vecchi, Corrado; Scherer, Matthias - In: Insurance : mathematics and economics 122 (2025), pp. 180-193
Persistent link: https://www.econbiz.de/10015432073
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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