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

DOI10.1007/s13385-013-0067-7zbMath1288.91182OpenAlexW2000491757MaRDI QIDQ362038

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

optimizationasset-liability managementportfolio selectioncapital allocationshort salesolvency

Mathematics Subject Classification ID

Related Items (3)

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

Cites Work

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

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