Optimal asset allocation for a bank under risk control
Year of publication: |
September 2018
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Authors: | Perera, Ryle S. ; Sato, Kimitoshi |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 3, p. 1-27
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Subject: | Bank asset allocation | Basel III capital accord | capital adequacy ratio | Martingale methods | Lévy process | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Theorie | Theory | Bilanzstrukturmanagement | Asset-liability management | Risikomaß | Risk measure | Bankenregulierung | Bank regulation | Stochastischer Prozess | Stochastic process |
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