Optimal portfolio choice with crash and default risk (Q5866980)
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scientific article; zbMATH DE number 7590379
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Optimal portfolio choice with crash and default risk |
scientific article; zbMATH DE number 7590379 |
Statements
OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK (English)
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22 September 2022
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optimal portfolios
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crash
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default
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worst-case scenario
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minimum constant portfolio
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constrained optimization
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0.8974747061729431
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0.8899129033088684
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0.8840562701225281
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0.880158007144928
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