Basel II banking regulation introduces new needs for computational schemes. They involve both optimal stochastic control, and large scale simulations of decision processes of preventing low-frequency high loss-impact events. This paper will first state the problem and present its parameters. It...

In a traditional mean-variance approach a portfolio is represented by the allocation vector optimized in terms of expected returns and variances. Basic assumption is that the allocation vector may only be the driver of a portfolio risk-reward trade-off, while all constituent assets are fully...