Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
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Publication:5108928
DOI10.1080/1350486X.2020.1727755zbMATH Open1437.91410OpenAlexW3007555401MaRDI QIDQ5108928FDOQ5108928
Authors: Jan-Frederik Mai 
Publication date: 6 May 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2020.1727755
Recommendations
- Correction to: ``Portfolio optimization for credit-risky assets under Marshall-Olkin dependence
- Portfolio optimization under credit risk
- Portfolio Choice with Market--Credit-Risk Dependencies
- Optimization Problems in the Simulation of Multifactor Portfolio Credit Risk
- Modeling portfolio optimization problem by probability-credibility equilibrium risk criterion
- Robust optimization of credit portfolios
- Optimal investment in credit derivatives portfolio under contagion risk
- Risk-sensitive credit portfolio optimization under partial information and contagion risk
- Asset proportions in optimal portfolios with dependent default risks
- Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation
portfolio optimizationMarshall-Olkin distributionlogarithmic utilitypower utilitymean-variance optimalityexponential Lévy model
Cites Work
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- Multivariate exponential distributions with constant failure rates
- Pricing and hedging in a dynamic credit model
- Power utility maximization in constrained exponential Lévy models
- Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
Cited In (4)
- Correction to: ``Portfolio optimization for credit-risky assets under Marshall-Olkin dependence
- A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
- Optimal impact portfolios with general dependence and marginals
- Portfolio Choice with Market--Credit-Risk Dependencies
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