@article{1480814,
      recid = {1480814},
      author = {Maier-Paape, Stanislaus, and Júdice, Pedro, and Platen,  Andreas, and Zhu, Qiji J.},
      title = {Scalar and vector risk in the general framework of  portfolio theory : a convex analysis approach /},
      pages = {1 online resource (254 pages) :},
      abstract = {This book is the culmination of the authors  industry-academic collaboration in the past several years.  The investigation is largely motivated by bank balance  sheet management problems. The main difference between a  bank balance sheet management problem and a typical  portfolio optimization problem is that the former involves  multiple risks. The related theoretical investigation leads  to a significant extension of the scope of portfolio  theories. The book combines practitioners perspectives and  mathematical rigor. For example, to guide the bank managers  to trade off different Pareto efficient points, the  topological structure of the Pareto efficient set is  carefully analyzed. Moreover, on top of computing  solutions, the authors focus the investigation on the  qualitative properties of those solutions and their  financial meanings. These relations, such as the role of  duality, are most useful in helping bank managers to  communicate their decisions to the different stakeholders.  Finally, bank balance sheet management problems of varying  levels of complexity are discussed to illustrate how to  apply the central mathematical results. Although the  primary motivation and application examples in this book  are focused in the area of bank balance sheet management  problems, the range of applications of the general  portfolio theory is much wider. As a matter of fact, most  financial problems involve multiple types of risks. Thus,  the book is a good reference for financial practitioners in  general and students who are interested in financial  applications. This book can also serve as a nice example of  a case study for applied mathematicians who are interested  in engaging in industry-academic collaboration.},
      url = {http://library.usi.edu/record/1480814},
      doi = {https://doi.org/10.1007/978-3-031-33321-7},
}