Abstract

Abstract In an intensifying international competition banks are forced to place increased emphasis on enterprise wide risk-/return management. Financial risks have to be limited and managed from a bank wide portfolio perspective. Risk management requirements have to be met from an internal as well as from a regulatory point of view. Banks need to maximize their expected returns under these constraints. This leads to a generalized portfolio optimization problem under different capital restrictions. We pursue a two-step Risk-/Return Management Approach ("RRM-Approach")