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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.

Keywords

Credit Default Swaps (CDS) Collateralized Debt Obligations (CDO) Drawdown Constraint Multiple Sample Paths Average Drawdown 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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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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