Risk-return optimization of the bank portfolio

zbMATH Open1162.91386MaRDI QIDQ5301699FDOQ5301699

Authors: Ursula Theiler 

Publication date: 20 January 2009

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Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50)

Cited In (12)

• Title not available (Why is that?)
• Numerical aspects of loan portfolio optimization
• Market risk management in a post-Basel II regulatory environment
• Integrated risk management: risk aggregation and allocation using intelligent systems
• An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques
• Minimizing banking risk in a Lévy process setting
• Enterprise Risk and Return Management for Financial Institutions
• Comparison of banking and peer-to-peer lending risks
• Risk-balanced territory design optimization for a micro finance institution
• Risk‐based Decisions on the Asset Structure of a Bank under Partial Economic Information
• Optimal allocation between bank loans and treasuries with regret
• An optimal portfolio and capital management strategy for basel III compliant commercial banks

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