The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach
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References listed on IDEAS
- Kwamie Dunbar, 2008.
"US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk,"
Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 321-334.
- Kwamie Dunbar, 2007. "US Corporate Default Swap Valuation: The Market Liquidity Hypothesis and Autonomous Credit Risk," Working papers 2007-08, University of Connecticut, Department of Economics.
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"Lifetime Portfolio Selection by Dynamic Stochastic Programming,"
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- Kwamie Dunbar, 2009. "Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space," Working papers 2009-04, University of Connecticut, Department of Economics.
More about this item
KeywordsDynamic Strategies; Credit Risk; Mean-Variance Analysis; Optimal Portfolio Selection; Viscosity Solution; Credit Default Swaps; Default Risk; Dynamic Control;
- G0 - Financial Economics - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2009-01-24 (Corporate Finance)
- NEP-CMP-2009-01-24 (Computational Economics)
- NEP-RMG-2009-01-24 (Risk Management)
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