A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
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Cites work
- A Multivariate Exponential Distribution
- Asset allocation with contagion and explicit bankruptcy procedures
- Common Poisson Shock Models: Applications to Insurance and Credit Risk Modelling
- Correction to: ``Portfolio optimization for credit-risky assets under Marshall-Olkin dependence
- Credit risk optimization using factor models
- Credit risk optimization with conditional Value-at-Risk criterion
- Dynamic credit investment in partially observed markets
- Dynamic portfolio optimization with a defaultable security and regime-switching
- How to invest optimally in corporate bonds: a reduced-form approach
- scientific article; zbMATH DE number 1134711 (Why is no real title available?)
- Large-Scale Loan Portfolio Selection
- 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
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
- Optimal portfolios for exponential Lévy processes.
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
- 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
- Reparameterizing Marshall–Olkin copulas with applications to sampling
- Simulating Copulas
- Static network reliability estimation under the Marshall-Olkin copula
- Stochastic first-order methods with random constraint projection
- Understanding machine learning. From theory to algorithms
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