Credit portfolio optimization with replacement in defaultable asset
DSpace at IIT Bombay
View Archive InfoField | Value | |
Title |
Credit portfolio optimization with replacement in defaultable asset
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Creator |
KUMAR, KS
PAL, C |
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Subject |
Bench-marked optimization
credit portfolio defaultable asset power utility |
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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.
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Publisher |
INDIAN ACAD SCIENCES
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Date |
2014-10-16T05:46:37Z
2014-10-16T05:46:37Z 2012 |
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Type |
Article
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Identifier |
CURRENT SCIENCE, 103(6)650-656
http://dspace.library.iitb.ac.in/jspui/handle/100/15373 |
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Language |
en
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