The performance of bank portfolio optimization

DOI10.1111/itor.13395MaRDI QIDQ6146623

Pedro Júdice, José Luis Santos, Unnamed Author

Publication date: 31 January 2024

Published in: International Transactions in Operational Research (Search for Journal in Brave)

zbMATH Keywords

optimizationplanningfinancebankingrisk management

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Unnamed Item
• Handbook of financial engineering
• A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations
• DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK
• Large-Scale Loan Portfolio Selection
• Least-squares approach to risk parity in portfolio selection
• Risk parity portfolios with risk factors
• Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure
• Expected mean return—standard deviation efficient frontier approximation with low‐cardinality portfolios in the presence of the risk‐free asset
• A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints
• Efficient credit portfolios under IFRS 9
• Geometric compromise programming: application in portfolio selection

This page was built for publication: The performance of bank portfolio optimization