Reaching nirvana with a defaultable asset?
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Publication:1693840
DOI10.1007/s10203-017-0192-xzbMath1398.91502OpenAlexW2170972641MaRDI QIDQ1693840
Alessandro Sbuelz, Marzia De Donno, Anna Battauz
Publication date: 31 January 2018
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-017-0192-x
convex dualitydynamic asset allocationleverageinvestment horizonduality-based optimal portfolio solutionsnon-myopic speculationpredictable default riskreaching for yieldsharpe ratio risk
Martingales with continuous parameter (60G44) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10)
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