Uryasev, Stan; Theiler, Ursula A.; Serraino, Gaia - In: The Journal of Risk Finance 11 (2010) 2, pp. 129-146
Purpose – New methods of integrated risk modeling play an important role in determining the efficiency of bank portfolio management. The purpose of this paper is to suggest a systematic approach for risk strategies formulation based on risk‐return optimized portfolios, which applies...