Scalar and Vector Risk in the General Framework of Portfolio Theory (eBook, PDF)

Scalar and Vector Risk in the General Framework of Portfolio Theory (eBook, PDF)

A Convex Analysis Approach

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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 p...

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