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

DOI10.1007/S13385-013-0067-7zbMATH Open1288.91182OpenAlexW2000491757MaRDI QIDQ362038FDOQ362038

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

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zbMATH Keywords

optimizationportfolio selectioncapital allocationasset-liability managementshort salesolvency

Mathematics Subject Classification ID

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

Cites Work

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

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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