Optimization of the bank’s operating portfolio
The theory of efficient portfolios developed by Markowitz is used to optimize the structure of the types of financial operations of a bank (bank portfolio) in order to increase the profit and reduce the risk. The focus of this paper is to check the stability of the model to errors in the original da...
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| Hauptverfasser: | , |
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| Format: | Tagungsbericht |
| Sprache: | eng |
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| Online-Zugang: | Volltext |
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| Zusammenfassung: | The theory of efficient portfolios developed by Markowitz is used to optimize the structure of the types of financial operations of a bank (bank portfolio) in order to increase the profit and reduce the risk. The focus of this paper is to check the stability of the model to errors in the original data. |
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| ISSN: | 0094-243X 1551-7616 |
| DOI: | 10.1063/1.4951881 |