Portfolio Compression in Financial Networks: Incentives and Systemic Risk.
Steffen SchuldenzuckerSven SeukenPublished in: EC (2020)
Keyphrases
- portfolio optimization
- portfolio management
- risk management
- decision making
- investment decisions
- portfolio selection
- sharpe ratio
- risk analysis
- image compression
- credit risk
- compression algorithm
- stock market
- risk assessment
- compression scheme
- network design
- risk measures
- risk averse
- asset allocation
- risk evaluation
- decision support system
- commercial banks
- transaction costs
- heterogeneous networks
- compression ratio
- listed companies
- network size
- risk factors
- fraud detection
- financial risk