Optimal portfolio for a robust financial system

  title={Optimal portfolio for a robust financial system},
  author={Y. Maeno and S. Morinaga and Kenji Nishiguchi and Hirokazu Matsushima},
  journal={2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)},
  • Y. Maeno, S. Morinaga, +1 author Hirokazu Matsushima
  • Published 2013
  • Economics, Computer Science
  • 2013 IEEE Conference on Computational Intelligence for Financial Engineering & Economics (CIFEr)
  • This study presents an ANWSER model (asset network systemic risk model) to quantify the risk of financial contagion which manifests itself in a financial crisis. The transmission of financial distress is governed by a heterogeneous interbank credit network and an investment portfolio of banks. Bankruptcy reproductive ratio of a financial system is computed as a function of the diversity and risk exposure of an investment portfolio of banks, and the denseness and concentration of a heterogeneous… CONTINUE READING
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