Scalar and Vector Risk in the General Framework of Portfolio Theory A Convex Analysis Approach
This book is the culmination of the authors’ industry-academic collaboration in the past several years. The investigation is largely motivated by bank balance sheet management problems. The main difference between a bank balance sheet management problem and a typical portfolio optimization problem i...
| Main Authors: | , , , |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Cham
Springer International Publishing
2023, 2023
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| Edition: | 1st ed. 2023 |
| Series: | CMS/CAIMS Books in Mathematics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Preface
- Introduction
- Efficient Portfolios for Scalar Risk Functions
- Efficient Portfolios for Vector Risk Functions
- Application Examples
- Conclusion
- Appendix A Convex Programming Problems
- References
- Index