Maximizing banking profit on a random time interval
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Publication:2472043
DOI10.1155/2007/29343zbMath1151.91071MaRDI QIDQ2472043
Janine Mukuddem-Petersen, I. M. Schoeman, Mark Adam Petersen, B. A. Tau
Publication date: 20 February 2008
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/54839
91B70: Stochastic models in economics
91B64: Macroeconomic theory (monetary models, models of taxation)
91B62: Economic growth models
93E20: Optimal stochastic control
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Optimizing asset and capital adequacy management in banking, Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord, Maximizing banking profit on a random time interval, Minimizing banking risk in a Lévy process setting
Cites Work
- A variational problem arising in financial economics
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- Bank management via stochastic optimal control
- Procyclicality and the new basel accord-banks' choice of loan rating system
- Continuous-time stochastic modelling of capital adequacy ratios for banks
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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