Optimal asset allocation for a bank under risk control
Ryle S. Perera and Kimitoshi Sato
| Year of publication: |
September 2018
|
|---|---|
| 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 | Theorie | Theory | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Bank | Risikomaß | Risk measure | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786318500226 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011923030