Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution.
So Yeon ChunMiguel A. LejeunePublished in: Manag. Sci. (2020)
Keyphrases
- portfolio optimization
- risk measures
- risk management
- portfolio management
- risk assessment
- portfolio selection
- investment decisions
- problems involving
- factor analysis
- robust optimization
- optimization methods
- stock market
- bi objective
- decision support system
- probability distribution
- decision making
- sharpe ratio
- risk averse
- financial markets
- stock exchange
- stock price