Uryasev, Stan; Theiler, Ursula A.; Serraino, Gaia - In: Journal of Risk Finance 11 (2010) February, pp. 129-146
Purpose – New methods of integrated risk modeling play an important role in determining the efficiency of bank portfolio management. The purpose of this paper is to suggest a systematic approach for risk strategies formulation based on risk-return optimized portfolios, which applies different...
