Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence
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Publication:5108928
DOI10.1080/1350486X.2020.1727755zbMath1437.91410OpenAlexW3007555401MaRDI QIDQ5108928
Publication date: 6 May 2020
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2020.1727755
portfolio optimizationMarshall-Olkin distributionlogarithmic utilitypower utilityexponential Lévy modelmean-variance optimality
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Cites Work
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