A portfolio optimization problem with a corporate bond (Q5412980)
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scientific article; zbMATH DE number 6289660
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| English | A portfolio optimization problem with a corporate bond |
scientific article; zbMATH DE number 6289660 |
Statements
28 April 2014
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portfolio optimization
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HARA utility
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defaultable bond
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recovery of market value
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martingale duality
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dynamic programming
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0.8332479596138
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0.8294488787651062
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0.8146032691001892
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0.7981177568435669
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0.7973911166191101
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