Stochastic portfolio optimization with default risk
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Publication:1759911
DOI10.1016/J.JMAA.2012.07.058zbMath1263.91043OpenAlexW2011480464MaRDI QIDQ1759911
Xuewei Yang, Yong Jin Wang, Li Jun Bo
Publication date: 22 November 2012
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2012.07.058
Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Portfolio theory (91G10) Credit risk (91G40)
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