An optimization model for minimizing systemic risk

DOI10.1007/S11579-020-00279-6MaRDI QIDQ829210zbMATHOpenAlexFDO

Authors Rosella Castellano, Roy Cerqueti, Gian Paolo Clemente, Rosanna Grassi

Publication date 5 May 2021

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-020-00279-6

zbMATH Keywords

optimizationclustering coefficientcomplex networkssystemic riskmean absolute deviationcredit default swaps

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

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Cites work

• scientific article; zbMATH DE number 5977361 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• scientific article; zbMATH DE number 3290993 (Why is no real title available?)
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A heuristic algorithm for a portfolio optimization model applied to the Milan stock market
• Beyond spreads: measuring sovereign market stress in the Euro area
• Dynamic optimal portfolio with maximum absolute deviation model
• Financial networks and interconnectedness in an advanced emerging market economy
• Implied recovery
• Mean-absolute deviation portfolio optimization for mortgage-backed securities
• Networks. An introduction.
• Optimization by simulated annealing
• Portfolio optimization under D.C. transaction costs and minimal transaction unit constraints
• Semi-absolute deviation rule for mutual funds portfolio selection
• Thermodynamical approach to the travelling salesman problem: An efficient simulation algorithm
• Variable neighborhood search

Cited in

(9)

• Generalized coefficients of clustering in (un)directed and (un)weighted networks: an application to systemic risk quantification for cryptocoin markets
• Preface to the special issue on systemic risk and financial networks
• Does the default pecking order impact systemic risk? Evidence from Brazilian data
• Monte Carlo within simulated annealing for integral constrained optimizations
• Optimizing price of credit default swaps for dynamic project system of public-private partnership
• Higher-order assortativity for directed weighted networks and Markov chains
• Financial contagion in banking networks with community structure
• Systemic risk models for disjoint and overlapping groups with equilibrium strategies
• Analyzing systemic risk using non-linear marginal expected shortfall and its minimum spanning tree

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