Portfolio optimization of credit risky bonds: A semi-Markov process approach

This article presents a semi-Markov process based approach to optimally select a portfolio consisting of credit risky bonds. The criteria to optimize the credit portfolio is based on lÉ-norm risk measure and the proposed optimization model is formulated as a linear programming problem. The input par...

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Bibliographic Details
Published in:	Financial innovation (Heidelberg) Vol. 6; no. 1; pp. 1 - 14
Main Authors:	Pasricha, Puneet, Selvamuthu, Dharmaraja, D'Amico, Guglielmo, Manca, Raimondo
Format:	Journal Article
Language:	English
Published:	Heidelberg Springer 22.05.2020 Springer Berlin Heidelberg Springer Nature B.V SpringerOpen
Subjects:	Credit ratings Credit risky bonds Economics Economics and Finance Linear programming Macroeconomics/Monetary Economics//Financial Economics Markov analysis Min-max absolute deviation Optimization Political Economy/Economic Systems Portfolio optimization Semi-Markov process Portfolio optimization Semi-Markov process Credit risky bonds Min-max absolute deviation Credit ratings
ISSN:	2199-4730, 2199-4730
Online Access:	Get full text
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