Ping Li, Hou-Sheng Chen, Guang-Dong Huang, Xiao-Jun Shi. On Portfolio s Default-Risk-Adjusted Duration and Value: Model and Algorithm Based on Copulas. In Paul G. Spirakis, Marios Mavronicolas, Spyros C. Kontogiannis, editors, Internet and Network Economics, Second International Workshop, WINE 2006, Patras, Greece, December 15-17, 2006, Proceedings. Volume 4286 of Lecture Notes in Computer Science, pages 214-224, Springer, 2006. [doi]
Abstract is missing.