Stanislaus Maier-Paape, Pedro Júdice, Andreas Platen
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...
This book is the culmination of the authors’ industry-academic collaboration in the past several years. The investigation is largely motivated by...
