Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory (Q3602354)
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scientific article; zbMATH DE number 5507346
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| English | Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory |
scientific article; zbMATH DE number 5507346 |
Statements
Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory (English)
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12 February 2009
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Bank portfolio allocation
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loan repayment inconsistency
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stochastic optimal control
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HJB equation
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0.8267460465431213
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0.7871758341789246
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0.7792066335678101
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0.7788922190666199
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0.7777308821678162
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