Optimal bespoke CDO design via NSGA-II

DOI10.1155/2009/925169zbMath1175.91158OpenAlexW2044927041WikidataQ58646862 ScholiaQ58646862MaRDI QIDQ1040049

Gareth Witten, Diresh Jewan, Renkuan Guo

Publication date: 23 November 2009

Published in: Journal of Applied Mathematics and Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/226198

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• SPEA2

Cites Work

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• A note on the large homogeneous portfolio approximation with the Student-\(t\) copula
• Coherent Measures of Risk
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• A model for association in bivariate life tables and its application in epidemiological studies of familial tendency in chronic disease incidence
• Families of Multivariate Distributions
• Large Sample Properties of Weighted Monte Carlo Estimators
• Introduction to evolutionary computing

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