| 书目名称 | Scalar and Vector Risk in the General Framework of Portfolio Theory |
| 副标题 | A Convex Analysis Ap |
| 编辑 | Stanislaus Maier-Paape,Pedro Júdice,Qiji Jim Zhu |
| 视频video | |
| 概述 | Introduces a new general framework of portfolio theory involving multiple types of risks.Highlights the role of convex analysis and convex duality in portfolio analysis.Applies the theory e.g. to bank |
| 丛书名称 | CMS/CAIMS Books in Mathematics |
| 图书封面 |  |
| 描述 | .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 is that the former involves multiple risks. The related theoretical investigation leads to a significant extension of the scope of portfolio theories. .The book combines practitioners’ perspectives and mathematical rigor. For example, to guide the bank managers to trade off different Pareto efficient points, the topological structure of the Pareto efficient set is carefully analyzed. Moreover, on top of computing solutions, the authors focus the investigation on the qualitative properties of those solutions and their financial meanings. These relations, such as the role of duality, are most useful in helping bank managers to communicate their decisions to the different stakeholders. Finally, bank balance sheet management problems of varying levels of complexity are discussed to illustrate how to apply the central mathematical results. Although the primary motivation and application examp |
| 出版日期 | Book 2023 |
| 关键词 | General framework of portfolio theory; Multiple risks; Bank balance sheet problems; Asset allocation; Po |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-031-33321-7 |
| isbn_softcover | 978-3-031-33323-1 |
| isbn_ebook | 978-3-031-33321-7Series ISSN 2730-650X Series E-ISSN 2730-6518 |
| issn_series | 2730-650X |
| copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer Nature Switzerl |
发表于 2025-3-21 19:46:06
