Scalar and Vector Risk in the General Framework of Portfo...
Maier-Paape, Stanislaus / Zhu, Qiji Jim / Platen, Andreas / Júdice, Pedro
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 theorie...