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Document type:
Working Paper 
Author(s):
Jan-Frederik Mai, Aleksandra Blagoeva, Matthias Scherer 
Non-TUM Co-author(s):
Ja 
Cooperation:
Title:
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence 
Abstract:
A vector of bankruptcy times with Marshall–Olkin multivariate exponential distri- bution implies a simple, yet reasonable, continuous-time dynamic model for depen- dent credit-risky assets with an appealing trade-off between tractability and real- ism. Within this framework the maximization of expected power utility of terminal wealth requires the maximization of a concave function on a polygon, a numerical problem whose complexity grows exponentially in the number of considered assets. We...    »
 
Intellectual Contribution:
Discipline-based Research 
Year:
2021 
Key publication:
Nein 
International:
Nein 
Commissioned:
not commissioned 
Technology:
Nein 
Interdisciplinarity:
Nein