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Title:

A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall–Olkin dependence

Document type:
Zeitschriftenaufsatz
Author(s):
Mai J. F., Blagoeva A., and Scherer M.
Non-TUM Co-author(s):
ja
Cooperation:
-
Abstract:
A vector of bankruptcy times with Marshall–Olkin multivariate exponential distribution implies a simple, yet reasonable, continuous-time dynamic model for dependent credit-risky assets with an appealing trade-off between tractability and realism. 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 demonstrat...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Frontiers of Mathematical Finance
Journal listet in FT50 ranking:
nein
Year:
2023
Fulltext / DOI:
doi:10.3934/fmf.2023020 open access
Judgement review:
0
Key publication:
Nein
Peer reviewed:
Ja
Commissioned:
not commissioned
Technology:
Nein
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
SDG:
;
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