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Reducing Asset Weights’ Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization

Tilke, Stephan (2006) Reducing Asset Weights’ Volatility by Importance Sampling in Stochastic Credit Portfolio Optimization. Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 417, Working Paper.

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Date of publication of this fulltext: 05 Aug 2009 13:58

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Item type:Monograph (Working Paper)
Date:2006
Additional Information (public):Zsfassung in dt. Sprache
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Entpflichtete oder im Ruhestand befindliche Professoren > Lehrstuhl für Statistik (Prof. Dr. Alfred Hamerle)
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Dewey Decimal Classification:300 Social sciences > 330 Economics
300 Social sciences > 310 General statistics
Status:Published
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:8213
Owner only: item control page

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