The Infona portal uses cookies, i.e. strings of text saved by a browser on the user's device. The portal can access those files and use them to remember the user's data, such as their chosen settings (screen view, interface language, etc.), or their login data. By using the Infona portal the user accepts automatic saving and using this information for portal operation purposes. More information on the subject can be found in the Privacy Policy and Terms of Service. By closing this window the user confirms that they have read the information on cookie usage, and they accept the privacy policy and the way cookies are used by the portal. You can change the cookie settings in your browser.
The new Basel III framework increases the banks’ market risk capital requirements. In this paper, we introduce a new risk management approach based on the unconditional coverage test to minimize the regulatory capital requirements. Portfolios optimized with our new minimum capital constraint successfully reduce the Basel III market risk capital requirements. In general, portfolios with value‐at‐risk...
The application of the Threshold Accepting (TA) algorithm in portfolio optimisation can reduce portfolio risk compared with a Trust-Region local search algorithm. In a benchmark comparison of several different objective functions combined with different optimisation routines, we show that the TA search algorithm applied to a Conditional Value at Risk (CVaR) objective function yields the lowest Basel...
Set the date range to filter the displayed results. You can set a starting date, ending date or both. You can enter the dates manually or choose them from the calendar.