A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence (Q6187725)
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scientific article; zbMATH DE number 7788147
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| English | A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence |
scientific article; zbMATH DE number 7788147 |
Statements
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence (English)
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15 January 2024
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portfolio selection
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power utility maximization
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credit-risk modeling
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stochastic gradient descent algorithm
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Marshall-Olkin distribution
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0.8375787138938904
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0.7165268659591675
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0.7155847549438477
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0.7039834260940552
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0.7022967338562012
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