The optimal asset and liability portfolio for a financial institution with multiple lines of businesses
type: Item
instance of: scholarly article
title: The optimal asset and liability portfolio for a financial institution with multiple lines of businesses
zbMATH Open document ID: 1288.91182
author: Yaniv Zaks
published in: European Actuarial Journal
publication date: 2013-08-20T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G50
zbMATH DE Number: 6199551
zbMATH Keywords: portfolio selection
zbMATH Keywords: asset-liability management
zbMATH Keywords: capital allocation
zbMATH Keywords: optimization
zbMATH Keywords: short sale
zbMATH Keywords: solvency
MaRDI profile type: Publication
full work available at URL: s13385-013-0067-7
OpenAlex ID: W2000491757
cites work: Coherent measures of risk
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cites work: To split or not to split: Capital allocation with convex risk measures
cites work: Capital Allocation Survey with Commentary
cites work: Optimal Pricing of a Heterogeneous Portfolio for a Given Risk Level
DOI: 10.1007/S13385-013-0067-7
description: scientific article; zbMATH DE number 6199551