Scalar and Vector Risk in the General Framework of Portfolio Theory: A Convex Analysis Approach

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...