A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence

DOI10.3934/fmf.2023020zbMath1530.91589OpenAlexW3177953679MaRDI QIDQ6187725

Jan-Frederik Mai, Matthias Scherer, Aleksandra Blagoeva

Publication date: 15 January 2024

Published in: Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/fmf.2023020

zbMATH Keywords

portfolio selectionMarshall-Olkin distributionpower utility maximizationstochastic gradient descent algorithmcredit-risk modeling

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) Credit risk (91G40)

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