How to invest optimally in corporate bonds: a reduced-form approach (Q844585)
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scientific article; zbMATH DE number 5660209
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| English | How to invest optimally in corporate bonds: a reduced-form approach |
scientific article; zbMATH DE number 5660209 |
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How to invest optimally in corporate bonds: a reduced-form approach (English)
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19 January 2010
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portfolio optimization
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stochastic interest rates
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default risk
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recovery risk
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beta distribution
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joint default factor
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0.8258564472198486
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0.7981177568435669
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0.7732042074203491
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0.754738986492157
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0.7543323040008545
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