OR forum: Design of risk weights

DOI10.1287/OPRE.2014.1308MaRDI QIDQ2941417zbMATH OpenOpenAlexFDO

Authors Paul Glasserman, Wanmo Kang

Publication date 28 August 2015

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.2014.1308

zbMATH Keywords

financial institutions: banksportfolio analysisquadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Recommendations

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Cited in

(8)

• Risk tomography
• Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization
• Does risk aversion affect bank output loss? The case of the eurozone
• On the measurement of economic tail risk
• Capital requirements, acceptable risks and profits
• Bank Capital Standards for Market Risk: A Welfare Analysis *
• Partially ordered data sets and a new efficient method for calculating multivariate conditional value-at-risk
• Change point detection in high dimensional covariance matrix using Pillai's statistics

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