Market risk management in a post-Basel II regulatory environment
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- 作者：Mikica Drenovaka ; b ; 1 ; Vladimir Rankovićb ; Milo&scaron ; Ivanovićc ; Branko Uro&scaron ; evićd ; e ; f ; Ranko Jelicg ; r.jelic@sussex.ac.uk" class="auth_mail" title="E-mail the corresponding author
- 关键词：Finance ; Market risk ; Basel 2.5 ; GARCH ; NSGA-II
- 刊名：European Journal of Operational Research
- 出版年：2017
- 出版时间：16 March 2017
- 年：2017
- 卷：257
- 期：3
- 页码：1030-1044
- 全文大小：2408 K
文摘
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We propose a novel method of Mean-Capital Requirements (CR) portfolio optimization.
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Our large-scale optimization framework combines NSGA-II algorithm and R software.
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Obtained optimal portfolios are not penalized by Basel 2.5 regulation.
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Stressing original correlations of asset returns improves Mean-CR tradeoffs.
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Improvements are related to reductions in cardinality of optimal portfolios.