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Risk-return optimization with different risk-aggregation strategies
Company: Journal of Risk Finance
Company Url: Click here to open
Year Of Publication: 2010
Month Of Publication: June
Resource Link: Click here to open
Pages: 129-146
Download Count: 0
View Count: 2010
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 5-9-2010
Publisher: Administrator
Summary
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 methodologies of risk measurement in the context of actual regulatory requirements.
(volume 11, number 2)
Author(s)
Uryasev, Stanislav Sign in to follow this author
Theiler, Ursula Sign in to follow this author
Serraino, Gaia Sign in to follow this author
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