Scalar and Vector Risk in the General Framework of Portfolio Theory

Free Download Scalar and Vector Risk in the General Framework of Portfolio Theory: A Convex Analysis Approach
English | 2023 | ISBN: 3031333209 | 228 Pages | PDF EPUB (True) | 20 MB
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.

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