Systemic risk-efficient asset allocations : Minimization of systemic risk as a network optimization problem
Anton Pichler, Sebastian Poledna, Stefan Thurner
| Year of publication: |
2021
|
|---|---|
| Authors: | Pichler, Anton ; Poledna, Sebastian ; Thurner, Stefan |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 52.2021, p. 1-13
|
| Subject: | Systemic risk | Systemic risk-efficient | Overlapping portfolios | Financial networks | Contagion | Network optimization | Quadratic programming | Government bonds | DebtRank | Mathematische Optimierung | Mathematical programming | Portfolio-Management | Portfolio selection | Systemrisiko | Theorie | Theory | Ansteckungseffekt | Contagion effect | Unternehmensnetzwerk | Business network |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jfs.2020.100809 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012745456