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Constructing banking networks under decreasing costs of link formation
Maringer, Dietmar G.; Craig, Ben R.; Paterlini, Sandra - In: Computational management science 19 (2022) 1, pp. 41-64
Persistent link: https://www.econbiz.de/10012817292
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Persistent link: https://www.econbiz.de/10012060359
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2020
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10012197781
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The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios
Craig, Ben R.; Giuzio, Margherita; Paterlini, Sandra - 2019
Recent policy discussion includes the introduction of diversification requirements for sovereign bond portfolios of European banks. In this paper, we evaluate the possible effects of these constraints on risk and diversification in the sovereign bond portfolios of the major European banks....
Persistent link: https://www.econbiz.de/10011992507
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Risk preferences and loss aversion in portfolio optimization
Maringer, Dietmar G. - In: Computational methods in financial engineering : essays …, (pp. 27-45). 2008
Persistent link: https://www.econbiz.de/10003669427
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Constrained index tracking under loss aversion using differential evolution
Maringer, Dietmar G. - In: Natural computing in computational finance ; [the …, (pp. 7-24). 2008
Persistent link: https://www.econbiz.de/10009515177
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The hidden risk of optimizing bond portfolios under VaR
Winker, Peter; Maringer, Dietmar G. - In: Journal of risk 9 (2006/07) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10003648357
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Metaheuristics for the index tracking problem
Tollo, Giacomo di; Maringer, Dietmar G. - In: Metaheuristics in the service industry, (pp. 127-154). 2009
Persistent link: https://www.econbiz.de/10003852274
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The threshold accepting optimisation alogrithm in economics and statistics
Winker, Peter; Maringer, Dietmar G. - In: Optimisation, econometric and financial analysis, (pp. 107-125). 2007
Persistent link: https://www.econbiz.de/10003544744
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Detecting time-variation in corporate bond index returns : a smooth transition regression model
Chen, XiaoHua; Maringer, Dietmar G. - In: Journal of banking & finance 35 (2011) 1, pp. 95-103
Persistent link: https://www.econbiz.de/10009244436