An optimal investment and risk control policy for a bank under exponential utility (Q3133493)
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scientific article; zbMATH DE number 6833754
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| English | An optimal investment and risk control policy for a bank under exponential utility |
scientific article; zbMATH DE number 6833754 |
Statements
An optimal investment and risk control policy for a bank under exponential utility (English)
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2 February 2018
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Basel III capital accord
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BSDE
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capital adequacy ratio (CAR)
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holomorphic function
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0.8036142587661743
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0.7853713631629944
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0.7783239483833313
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0.7656221985816956
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