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Coelho, C., Santos, J. L. & Judice, P. (2024). The performance of bank portfolio optimization. International Transactions of Operations Research. 31 (3), 1458-1485

C. Coelho et al.,  "The performance of bank portfolio optimization", in Int. Transactions of Operations Research, vol. 31, no. 3, pp. 1458-1485, 2024

@article{coelho2024_1721835232128,
	author = "Coelho, C. and Santos, J. L. and Judice, P.",
	title = "The performance of bank portfolio optimization",
	journal = "International Transactions of Operations Research",
	year = "2024",
	volume = "31",
	number = "3",
	doi = "10.1111/itor.13395",
	pages = "1458-1485",
	url = "https://onlinelibrary.wiley.com/doi/10.1111/itor.13395"
}

TY  - JOUR
TI  - The performance of bank portfolio optimization
T2  - International Transactions of Operations Research
VL  - 31
IS  - 3
AU  - Coelho, C.
AU  - Santos, J. L.
AU  - Judice, P.
PY  - 2024
SP  - 1458-1485
SN  - 0969-6016
DO  - 10.1111/itor.13395
UR  - https://onlinelibrary.wiley.com/doi/10.1111/itor.13395
AB  - Given a liability structure, the bank portfolio optimization determines an asset allocation that maximizes profit, subject to restrictions on Basel III ratios and credit, liquidity, and market risks. Bank allocation models have not been tested using historical data. Using an optimization model based on turnover constraints, we develop such tests, which document the superior performance of optimization strategies compared to heuristic rules, resulting in an average annual out-of-sample outperformance of 15.1% in terms of return on equity using our data set. This outperformance is remarkable and contrasts with the reported underperformance of several portfolio optimization methods in the case of investment management. 
ER  -