Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence (Q5108928)
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scientific article; zbMATH DE number 7197557
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| English | Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence |
scientific article; zbMATH DE number 7197557 |
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Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence (English)
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6 May 2020
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mean-variance optimality
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Marshall-Olkin distribution
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exponential Lévy model
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power utility
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logarithmic utility
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portfolio optimization
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0.9201641
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0.9180231
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0.9046532
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0.8864843
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0.8859923
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0.8856441
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0.88511086
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0.8839385
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0.8815671
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