Portfolio optimization of credit risky bonds: a semi-Markov process approach

Abstract This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on l ∞ -norm risk measure and the proposed optimization model is formulated as a linear programming problem. Th...

وصف كامل

التفاصيل البيبلوغرافية
الحاوية / القاعدة:Financial Innovation
المؤلفون الرئيسيون: Puneet Pasricha, Dharmaraja Selvamuthu, Guglielmo D’Amico, Raimondo Manca
التنسيق: مقال
اللغة:الإنجليزية
منشور في: SpringerOpen 2020-05-01
الموضوعات:
Semi-Markov process
Credit ratings
Credit risky bonds
Portfolio optimization
Min-max absolute deviation
الوصول للمادة أونلاين:http://link.springer.com/article/10.1186/s40854-020-00186-1

الانترنت

http://link.springer.com/article/10.1186/s40854-020-00186-1

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