Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence

DOI10.1080/1350486X.2020.1727755MaRDI QIDQ5108928zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolio optimizationMarshall-Olkin distributionlogarithmic utilitypower utilitymean-variance optimalityexponential Lévy model

Mathematics Subject Classification ID

Portfolio theory (91G10) Credit risk (91G40)

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

Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Multivariate Exponential Distribution
• Aggregation-robustness and model uncertainty of regulatory risk measures
• Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
• Common failings: how corporate defaults are correlated
• How to invest optimally in corporate bonds: a reduced-form approach
• Lectures on probability theory and statistics. Ecole d'eté de Probabilités de Saint-Flour XXVII--1997, Saint-Flour, France, July 7--23, 1997
• Markov multi-variate survival indicators for default simulation as a new characterization of the Marshall-Olkin law
• Marshall-Olkin distributions, subordinators, efficient simulation, and applications to credit risk
• Multivariate exponential distributions with constant failure rates
• On optimal portfolio diversification with respect to extreme risks
• Optimal portfolios for logarithmic utility.
• Optimum consumption and portfolio rules in a continuous-time model
• Orthant tail dependence of multivariate extreme value distributions
• Power utility maximization in constrained exponential Lévy models
• Pricing and hedging in a dynamic credit model
• Projected Newton Methods for Optimization Problems with Simple Constraints
• Regenerative composition structures
• Reparameterizing Marshall–Olkin copulas with applications to sampling
• Tail dependence comparison of survival Marshall-Olkin copulas

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

This page was built for publication: Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5108928)