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Bond portfolio optimization with long-range dependent credits - MaRDI portal

Bond portfolio optimization with long-range dependent credits (Q6175328)

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scientific article; zbMATH DE number 7715836
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English
Bond portfolio optimization with long-range dependent credits
scientific article; zbMATH DE number 7715836

    Statements

    title
    Bond portfolio optimization with long-range dependent credits (English)
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    author
    Jie Yin
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    Hoi Ying Wong
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    publication date
    21 July 2023
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    zbMATH Keywords
    optimal portfolio
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    long memory
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    credit risk
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    COVID-19 pandemic
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    Identifiers

    DOI
    10.3934/jimo.2022253
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    Mathematics Subject Classification ID
    49N90
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    60H30
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    91B05
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    91G40
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    zbMATH DE Number
    7715836
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    OpenAlex ID
    W4313011462
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