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Optimal risk return trade-offs of commercial banks and the suitability of profitability measures for loan portfolios

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This book criticizes the fact that profitability measures derived from capital market models such as the Sharpe ratio and the reward-to-VaR ratio are proposed for loan portfolios, although it is not proven whether their risk-return trade-offs are optimal for banks.

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Optimal risk return trade-offs of commercial banks and the suitability of profitability measures for loan portfolios, Jochen Kuhn

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Jaar van publicatie
2006
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(Paperback)
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