The optimal asset and liability portfolio for a financial institution with multiple lines of businesses

DOI10.1007/S13385-013-0067-7MaRDI QIDQ362038zbMATH OpenOpenAlexFDO

Authors Yaniv Zaks

Publication date 20 August 2013

Published in European Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s13385-013-0067-7

zbMATH Keywords

optimizationportfolio selectioncapital allocationasset-liability managementshort salesolvency

Mathematics Subject Classification ID

Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• An optimization approach to the dynamic allocation of economic capital
• Capital Allocation Survey with Commentary
• Coherent measures of risk
• Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
• To split or not to split: Capital allocation with convex risk measures

Cited in

(3)

• Optimal capital allocation in a hierarchical corporate structure
• Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework
• Optimal capital allocation for individual risk model using a mean-variance principle

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