Satisfying Bank Capital Requirements: A Robustness Approach in a Modified Roy Safety-First Framework
This study considers an asset-liability optimization model based on constraint robustness with the chance constraint of capital to risk assets ratio in a safety-first framework under the condition that only moment information is known. This paper aims to extend the proposed single-objective capital...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-07-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/7/7/593 |