Optimal portfolios with minimum capital requirements - Santos, André A.P.; Nogales, Francisco J.; Ruiz, Esther; Dijk, Dick Van (Journal of banking & finance, 2012)
Keywords: Basel Accords; Capital; Capital requirements; Convex optimization; Financial theory; Investment; Multivariate GARCH; Out-of-sample evaluation; Penalties; Portfolio investments; Portfolio management; Portfolios; Regulation; Regulation of financial institutions; Risk adjustment; Risk assessment; Risk management; Stress testing; Studies; Value; Value-at-Risk; Violations; Stress testing; Convex optimization; G11; Out-of-sample evaluation; Multivariate GARCH; G32