Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space
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Keywords
Dynamic Optimization; Credit Risk; Mean-Variance Analysis; Linear Quadratic Control; Credit Default Swaps; Capital Market Line; Gram-Charlier expansion; unsystematic risks;JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2009-01-24 (Corporate Finance)
- NEP-ORE-2009-01-24 (Operations Research)
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