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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Escobar, M.; Hieber, P.; Scherer, M.; Seco, L. 
Nicht-TUM Koautoren:
ja 
Kooperation:
international 
Titel:
Portfolio optimization in a multidimensional structural-default model with a focus on private equity 
Abstract:
For risky investments, like private equity or hedge funds, default risk plays a prominent role. However, the accordant literature on portfolio optimization mostly disregards default risk and accordingly skewed return distributions. This paper presents a realistic and tractable framework for a portfolio optimization including default risk. Default is modeled by means of a Merton- or Black-Cox-type structural model. On a portfolio level, the mean and covariance of the resulting return distribution...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
Journal of Private Equity 
Jahr:
2011 
Band / Volume:
15 
Heft / Issue:
Seitenangaben Beitrag:
26–35 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Semester:
SS 02 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein