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Credit portfolio optimization with replacement in defaultable asset

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Title Credit portfolio optimization with replacement in defaultable asset
 
Creator KUMAR, KS
PAL, C
 
Subject Bench-marked optimization
credit portfolio
defaultable asset
power utility
 
Description In this article, we propose a new model for credit portfolios. We prove the existence of optimal portfolios for the associated power utility maximization problem and the benchmarked optimization problem.
 
Publisher INDIAN ACAD SCIENCES
 
Date 2014-10-16T05:46:37Z
2014-10-16T05:46:37Z
2012
 
Type Article
 
Identifier CURRENT SCIENCE, 103(6)650-656
http://dspace.library.iitb.ac.in/jspui/handle/100/15373
 
Language en