This paper describes a new method of bond portfolio optimization based on stochastic string models of correlation structure in bond returns. The paper shows how to approximate correlation function of bond returns, compute the optimal portfolio allocation using Wiener-Hopf factorization, and check whether a collection of bonds presents arbitrage opportunities.

During the conversation it became clear that he was looking for the big picture. It was obvious that an additional view was required – a view that could complement the current, singular focus on individual business processes that leads to the management of each process in isolation. Such a consolidating view of the complete landscape of business processes is the heart of process portfolio manag...

The paper presents an advanced version of adaptive market-making agent capable performing experiential learning, exploiting a “try and fail” approach relying on swarm subordinate agents executed in virtual environment to determine optimal strategies. problem is treated as “Narrow AGI” with the scope goals environments bound financial markets, specifically crypto-markets. Such called “adaptive m...

In the context of asset and liability management, we propose a portfolio selection model based on the expected return of the assets and the economic risk capital (ERC) associated to the asset liability portfolio, for short called mean-ERC asset liability portfolio selection. MeanERC efficiency in asset and liability management is closely related and compared to meanvariance efficiency in asset ...

This paper reviews the various aspects of the Balanced Scorecard, which is a strategy implementation tool based on defining and monitoring the key factors important for the business; and also its application in the new product development process and the goal-driven measurement methodology. The product mix of jobbing type of industries is very important from the point of view of their long-term...

Efficient credit portfolio management is a key success factor of bank management. Discussions of the new capital adequacy proposals by the Basle Committee on Banking Supervision enlighten the necessity to consider the credit risk management both from the internal and the regulatory point of view. We introduce an optimization approach for the credit portfolio that maximizes expected returns subj...