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Agostino Capponi
Information about the author Agostino Capponi will soon be added to the site.
Found
3 papers
in total
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Systemic Influences on Optimal Equity-Credit Investment
2017
We introduce an equity‐credit portfolio framework taking into account the...
Robust Optimization of Credit Portfolios
2017
We introduce a dynamic credit portfolio framework where optimal investment strategies...
Liability Concentration and Systemic Losses in Financial Networks
2016
The objective of this study is to develop a majorization‐based tool to compare...
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