Theoretical solution versus industry standard: Optimal leverage function for CPDOs (Q845590): Difference between revisions
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| Property / cites work: Theory of constant proportion portfolio insurance / rank | |||
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| Property / cites work: Constant Proportion Debt Obligations (CPDOs): modeling and risk analysis / rank | |||
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| Property / cites work: Quantile hedging / rank | |||
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Latest revision as of 10:51, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Theoretical solution versus industry standard: Optimal leverage function for CPDOs |
scientific article |
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Theoretical solution versus industry standard: Optimal leverage function for CPDOs (English)
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29 January 2010
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constant proportion debt obligations
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Hamilton-Jacobi-Bellmann equation
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optimal leverage
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