Credit portfolio risk and asset price cycles.
Klaus RheinbergerMartin SummerPublished in: Comput. Manag. Sci. (2008)
Keyphrases
- portfolio theory
- asset allocation
- portfolio management
- portfolio optimization
- risk analysis
- sharpe ratio
- credit risk
- optimal portfolio
- portfolio selection
- transaction costs
- risk management
- risk evaluation
- decision making
- credit scoring
- investment decisions
- risk averse
- var model
- expected utility
- high risk
- efficient frontier
- risk factors
- real time
- expert systems
- databases
- multi objective
- risk measures
- investment strategies
- stock market