Portfolio Optimization for Credit-Risky Assets under Marshall–Olkin Dependence

Q3 Mathematics

Applied Mathematical Finance Pub Date : 2019-11-02 DOI:10.1080/1350486X.2020.1727755

Jan-Frederik Mai

引用次数: 0

Abstract

ABSTRACT We consider power/logarithmic utility maximization in a multivariate Black–Scholes model that is enhanced by credit risk via the Marshall–Olkin exponential distribution. On the practical side, the model results in an enhancement of the mean variance paradigm, which is easy to interpret and implement. On the theoretical side, the model constitutes a well-justified and intuitive mathematical wrapping to study the effect of extreme and higher-order dependence on optimal portfolios.

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马歇尔-奥尔金依赖下的信用风险资产组合优化

我们考虑了一个多元Black-Scholes模型中的功率/对数效用最大化问题，该模型通过Marshall-Olkin指数分布增强了信用风险。在实践方面，该模型增强了均值方差范式，易于解释和实现。在理论方面，该模型构成了一个合理的、直观的数学包装来研究极端和高阶依赖对最优投资组合的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Applied Mathematical Finance Economics, Econometrics and Finance-Finance

CiteScore

2.30

自引率

0.00%

发文量

期刊介绍： The journal encourages the confident use of applied mathematics and mathematical modelling in finance. The journal publishes papers on the following: •modelling of financial and economic primitives (interest rates, asset prices etc); •modelling market behaviour; •modelling market imperfections; •pricing of financial derivative securities; •hedging strategies; •numerical methods; •financial engineering.