Optimal credit allocation under regime uncertainty with sensitivity analysis
Year of publication: |
2015
|
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Authors: | Bernis, Guillaume ; Carassus, Laurence ; Docq, Grégoire ; Scotti, Simone |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 18.2015, 1, p. 1-27
|
Subject: | Credit assets' allocation | regime-switching model | error theory based on Dirichlet forms | continuous-time hidden Markov chain | Theorie | Theory | Markov-Kette | Markov chain | Portfolio-Management | Portfolio selection |
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