Bank strategic asset allocation under a unified risk measure

作者：

Highlights：

• Simulation–optimization methodology for bank strategic asset allocation.

• Measures risks in a unified and comparable manner.

• Bi-objective optimization strategy to obtain bank asset allocations.

• Proposed model outperforms classical heuristics.

摘要

•Simulation–optimization methodology for bank strategic asset allocation.•Measures risks in a unified and comparable manner.•Bi-objective optimization strategy to obtain bank asset allocations.•Proposed model outperforms classical heuristics.

论文关键词：Banking,Strategic asset allocation,Risk aggregation,Simulation-optimization,Pareto front,Heuristics

论文评审过程：Received 23 October 2020, Revised 15 June 2021, Accepted 6 July 2021, Available online 16 July 2021, Version of Record 21 July 2021.

论文官网地址：https://doi.org/10.1016/j.eswa.2021.115574