"A robust bank asset allocation model integrating credit-rating migration ..."

Dawen Yan, Xiaohui Zhang, Mingzheng Wang (2021)

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DOI: 10.1007/S10479-020-03571-2

access: closed

type: Journal Article

metadata version: 2021-04-13

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Dawen Yan, Xiaohui Zhang, Mingzheng Wang:
A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations. Ann. Oper. Res. 299(1): 659-710 (2021)

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