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Bank portfolio management under credit market imperfections
Mallick, Indrajit - In: Journal of mathematical finance 9 (2019) 3, pp. 239-253
Persistent link: https://www.econbiz.de/10012210168
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Portfolio theory with application to bank asset management
Szegö, Giorgio P. - 1980
Persistent link: https://www.econbiz.de/10000048808
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Optimization of bank portfolios
Beazer, William Frank - 1975
Persistent link: https://www.econbiz.de/10000557931
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Financial engineering durch Finanzinnovationen : Ertrags- und Risikooptimierung bei Banken und Unternehmen
Cramer, Jürgen - 1993
Persistent link: https://www.econbiz.de/10000859406
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A robust asset-liability management framework for investment products with guarantees
Gülpınar, Nalân; Pachamanova, Dessislava A.; … - In: OR spectrum : quantitative approaches in management 38 (2016) 4, pp. 1007-1041
Persistent link: https://www.econbiz.de/10011686059
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Risk-return optimization of the bank portfolio
Theiler, Ursula - In: Operations research proceedings 2002 : selected papers …, (pp. 14-19). 2003
Persistent link: https://www.econbiz.de/10001751858
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Risk-/Return-orientierte Optimierung des Gesamtbank-Portfolios unter Verwendung des Conditional Value at Risk
Theiler, Ursula-A. - In: Operations research proceedings 2001 : selected papers …, (pp. 183-190). 2002
Persistent link: https://www.econbiz.de/10001677514
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Integrated risk return optimization approach for the bank portfolio
Theiler, Ursula A. - In: Finance India : the quarterly journal of Indian … 17 (2003) 4, pp. 1467-1473
Persistent link: https://www.econbiz.de/10002390671
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Solving ALM problems via sequential stochastic programming
Herzog, Florian; Dondi, Gabriel; Keel, Simon; Schumann, … - In: Quantitative fund management, (pp. 197-221). 2009
Persistent link: https://www.econbiz.de/10003796953
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Banking firm, equity and value at risk
Broll, Udo; Sobiech, Anna; Wahl, Jack E. - In: Contemporary economics 6 (2012) 4, pp. 50-53
The paper focuses on the interaction between the solvency probability of a banking firm and the diversification potential of its asset portfolio when determining optimal equity capital. The purpose of this paper is to incorporate value at risk (VaR) into the firm-theoretical model of a banking...
Persistent link: https://www.econbiz.de/10009768157