Optimal Portfolios with Credit Default Swaps
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DOI: 10.1007/s10693-016-0264-z
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More about this item
Keywords
Credit default swap; Optimal dynamic programming; Hyperbolic absolute risk aversion;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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