Similar Search Results

Portfolio optimization of credit risky bonds: A semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial Innovation 6 (2020) 1, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

Persistent link: https://www.econbiz.de/10012602859

Switching stochastic models and applications in retrial queues

Anisimov, Vladimir - In: TOP: An Official Journal of the Spanish Society of … 7 (1999) 2, pp. 169-186

Persistent link: https://www.econbiz.de/10005178848

Markov regenerative credit rating model

Pasricha, Puneet; Selvamuthu, Dharmaraja; Arunachalam, … - In: Journal of risk finance : the convergence of financial … 18 (2017) 3, pp. 311-325

Persistent link: https://www.econbiz.de/10011742799

Portfolio optimization of credit risky bonds : a semi-Markov process approach

Pasricha, Puneet; Selvamuthu, Dharmaraja; D'Amico, Guglielmo - In: Financial innovation : FIN 6 (2020) 25, pp. 1-14

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l∞-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The...

Persistent link: https://www.econbiz.de/10012268914

Approximation of multiserver retrial queues by means of generalized truncated models

Anisimov, Vladimir; Artalejo, Jesus - In: TOP: An Official Journal of the Spanish Society of … 10 (2002) 1, pp. 51-66

Persistent link: https://www.econbiz.de/10005598392