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Fiscal Risk and the Portfolio of Government Programs
Risk Management Programs Government and Politics
2015/4/29
This paper proposes a new approach to social cost-benefit analysis using a model in which a benevolent government chooses risky projects in the presence of market failures and tax distortions. The gov...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity,filtering dynamic program-ming principle
2010/4/27
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeli...