Optimal investment in credit derivatives portfolio under contagion risk (Q2831003)
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scientific article; zbMATH DE number 6646425
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal investment in credit derivatives portfolio under contagion risk |
scientific article; zbMATH DE number 6646425 |
Statements
1 November 2016
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dynamic portfolio optimization
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credit default swaps
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contagion risk
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interacting default intensities
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Optimal investment in credit derivatives portfolio under contagion risk (English)
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0.8108654022216797
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0.7976251840591431
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0.7848231792449951
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0.7847796082496643
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0.7834343314170837
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