OR Forum—Design of Risk Weights

DOI10.1287/opre.2014.1308zbMath1342.91039OpenAlexW1985431209MaRDI QIDQ2941417

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

quadratic programmingportfolio analysisfinancial institutions: banks

Mathematics Subject Classification ID

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

Related Items (4)

On the Measurement of Economic Tail Risk ⋮ Risk tomography ⋮ Does risk aversion affect bank output loss? The case of the eurozone ⋮ Positive-definite modification of a covariance matrix by minimizing the matrix \(\ell_{\infty}\) norm with applications to portfolio optimization

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