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Autor:
Tilke, Stephan
The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weight
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::141a259cf223597ca22b9fd9f7782f71
Autor:
Tilke, Stephan
The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weight
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::02c06188a60aaf33da3a348d2b2be1ca
https://epub.uni-regensburg.de/8213/
https://epub.uni-regensburg.de/8213/
Autor:
Tilke, Stephan
The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weight
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::7cd49f30f32a6ec08380f7932e557477
https://epub.uni-regensburg.de/4533/1/paper_IS_3.pdf
https://epub.uni-regensburg.de/4533/1/paper_IS_3.pdf