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

Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence (Q5108928)

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scientific article; zbMATH DE number 7197557
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Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
scientific article; zbMATH DE number 7197557

    Statements

    title
    Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence (English)
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    author
    Jan-Frederik Mai
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    publication date
    6 May 2020
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    zbMATH Keywords
    mean-variance optimality
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    Marshall-Olkin distribution
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    exponential Lévy model
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    power utility
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    logarithmic utility
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    portfolio optimization
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    cites work
    Q5226713
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    Q4937701
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    Identifiers

    zbMATH DE Number
    7197557
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    OpenAlex ID
    W3007555401
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