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Online Algorithms for the Portfolio Selection Problem
Dochow, Robert - 2016
Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a...
Persistent link: https://www.econbiz.de/10014019956
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Computational Methods in Financial Engineering : Essays in Honour of Manfred Gilli
Kontoghiorghes, Erricos J. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10013520902
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Integrated Market and Credit Portfolio Models : Risk Measurement and Computational Aspects
Grundke, Peter (contributor) - 2008
Due to their business activities, banks are exposed to many different risk types. Peter Grundke shows how various risk exposures can be aggregated to a comprehensive risk position. Furthermore, computational problems of determining a loss distribution that comprises various risk types are...
Persistent link: https://www.econbiz.de/10013521007
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Quantitative Financial Risk Management
Wu, Dash - 2011
Persistent link: https://www.econbiz.de/10013518433
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Quantitative Financial Risk Management
Wu, Dash - 2011
The bulk of this volume deals with the four main aspects of risk management: market risk, credit risk, risk management - in macro-economy as well as within companies. It presents a number of approaches and case studies directed at applying risk management to diverse business environments....
Persistent link: https://www.econbiz.de/10014015370
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Applied Asset and Risk Management : A Guide to Modern Portfolio Management and Behavior-Driven Markets
Schulmerich, Marcus - 2015
triggered by the global events on the stock markets since the middle of the last decade: - Why do crashes happen when in theory … approaches to finance and investing, i.e., modern portfolio theory and behavioral finance, and provides an overview of stock … can be downloaded at extras.springer.com. In this book modern portfolio theory meets behavioral finance, resulting in new …
Persistent link: https://www.econbiz.de/10012402226
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The Use of Risk Budgets in Portfolio Optimization
Unger, Albina - 2015
Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk,...
Persistent link: https://www.econbiz.de/10014021208
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Optimal Risk-Return Trade-Offs of Commercial Banks : and the Suitability of Profitability Measures for Loan Portfolios
Kühn, Jochen (contributor) - 2006
This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks. The authors demonstrate that...
Persistent link: https://www.econbiz.de/10013520561
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Risk Management in Credit Portfolios : Concentration Risk and Basel II
Hibbeln, Martin - 2010
Credit Risk Measurement in the Context of Basel II -- Concentration Risk in Credit Portfolios and Its Treatment Under Basel II -- Model-Based Measurement of Name Concentration Risk in Credit Portfolios -- Model-Based Measurement of Sector Concentration Risk in Credit Portfolios -- Conclusion
Persistent link: https://www.econbiz.de/10013522876
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New Methods in Fixed Income Modeling : Fixed Income Modeling
Mili, Mehdi (ed.); Samaniego Medina, Reyes (ed.);  … - 2018
practitioners interested in the theory behind fixed income instruments, and in their applications in financial portfolio management …
Persistent link: https://www.econbiz.de/10012396848