Reducing Asset Weights' Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization
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More about this item
KeywordsKreditrisiko ; Stochastische Optimierung; Varianzreduktion ; CVaR; CVaR ; credit risk ; stochastic portfolio optimization ; importance sampling ; CreditMetrics ; CreditManager;
All these keywords.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
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