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Portfolio Safeguard Case Studies

  • Michael Zabarankin
  • Stan Uryasev
Chapter
Part of the Springer Optimization and Its Applications book series (SOIA, volume 85)

Abstract

This case study designs a portfolio of credit default swaps (CDS) and credit indices to hedge against changes in a collateralized debt obligation (CDO) book. The hedging problem is to minimize risk of portfolio losses subject to budget and cardinality constraints on hedge positions.

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Copyright information

© Springer Science+Business Media, New York 2014

Authors and Affiliations

  • Michael Zabarankin
    • 1
  • Stan Uryasev
    • 2
  1. 1.Department of Mathematical SciencesStevens Institute of TechnologyHobokenUSA
  2. 2.Department of Industrial and Systems EngineeringUniversity of FloridaGainesvilleUSA

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