Scalar and Vector Risk in the General Framework of Portfolio Theory: A Convex Analysis Approach

The book combines practitioners perspectives and mathematical rigor to extend portfolio theories and discuss bank balance sheet management problems of varying levels of complexity. It is a good reference for financial practitioners and students interested in financial applications and can also serve as a case study for applied mathematicians.

Format: Hardback
Length: 228 pages
Publication date: 02 September 2023
Publisher: Springer International Publishing AG

This book is the culmination of the authors' industry-academic collaboration in the past several years, driven by bank balance sheet management problems. It explores the unique challenges of managing bank balance sheets, which involve multiple risks. The investigation extends the scope of portfolio theories, combining practitioners' perspectives with mathematical rigor. The book focuses on the topological structure of the Pareto efficient set, providing guidance to bank managers on how to trade off different Pareto efficient points. It also emphasizes the qualitative properties of these solutions and their financial meanings, helping bank managers communicate their decisions to stakeholders. The book discusses bank balance sheet management problems of varying levels of complexity, illustrating how to apply the central mathematical results. While the primary motivation and application examples are focused on bank balance sheet management, the general portfolio theory has a wider range of applications, encompassing most financial problems that involve multiple types of risks. This book is a valuable reference for financial practitioners and students interested in financial applications, as well as a case study for applied mathematicians interested in engaging in industry-academic collaboration.

Dimension: 235 x 155 (mm)
ISBN-13: 9783031333200
Edition number: 1st ed. 2023