Portfolio optimization under credit risk

DOI10.1007/BF03354601zbMath1039.91033OpenAlexW1992440864MaRDI QIDQ1424641

Jan Kerhrbaum, Rudi Zagst, Bernd Schmid

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf03354601

zbMATH Keywords

uncertainty indexdefaultable bond pricelinear mixed-integer programming

Mathematics Subject Classification ID

Related Items (1)

Integrated portfolio management with options

Cites Work

• Pricing Interest-Rate-Derivative Securities
• Interest-rate management

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