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 demonstrate how to solve this seemingly impractical numerical problem reliably and efficiently in order to prepare the model for practical use cases. To this end, we resort to a specifically designed factor construction for the Marshall–Olkin distribu- tion that separates dependence parameters from idiosyncratic parameters, and we develop a tailor-made stochastic gradient descent algorithm with random constraint projections for the model’s numerical implementation.    «

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...    »