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Portfolio theory with application to bank asset management
Szegö, Giorgio P. - 1980
Persistent link: https://www.econbiz.de/10000048808
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Optimization of bank portfolios
Beazer, William Frank - 1975
Persistent link: https://www.econbiz.de/10000557931
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Financial engineering durch Finanzinnovationen : Ertrags- und Risikooptimierung bei Banken und Unternehmen
Cramer, Jürgen - 1993
Persistent link: https://www.econbiz.de/10000859406
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A robust asset-liability management framework for investment products with guarantees
Gülpınar, Nalân; Pachamanova, Dessislava A.; … - In: OR spectrum : quantitative approaches in management 38 (2016) 4, pp. 1007-1041
Persistent link: https://www.econbiz.de/10011686059
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Risk-return optimization of the bank portfolio
Theiler, Ursula - In: Operations research proceedings 2002 : selected papers …, (pp. 14-19). 2003
Persistent link: https://www.econbiz.de/10001751858
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Risk-/Return-orientierte Optimierung des Gesamtbank-Portfolios unter Verwendung des Conditional Value at Risk
Theiler, Ursula-A. - In: Operations research proceedings 2001 : selected papers …, (pp. 183-190). 2002
Persistent link: https://www.econbiz.de/10001677514
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Integrated risk return optimization approach for the bank portfolio
Theiler, Ursula A. - In: Finance India : the quarterly journal of Indian … 17 (2003) 4, pp. 1467-1473
Persistent link: https://www.econbiz.de/10002390671
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Solving ALM problems via sequential stochastic programming
Herzog, Florian; Dondi, Gabriel; Keel, Simon; Schumann, … - In: Quantitative fund management, (pp. 197-221). 2009
Persistent link: https://www.econbiz.de/10003796953
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Pension fund's illiquid assets allocation under liquidity and capital requirements
Broeders, Dirk; Jansen, Kristy A. E.; Werker, Bas J. M. - In: Journal of pension economics and finance : JPEF 20 (2021) 1, pp. 102-124
Persistent link: https://www.econbiz.de/10012404062
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Strengthening Banks' Portfolio Against Asset Shocks : A Genetic Computational Approach
Gurciullo, Stefano - 2013
This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...
Persistent link: https://www.econbiz.de/10013075302