Maximizing banking profit on a random time interval

DOI10.1155/2007/29343zbMath1151.91071OpenAlexW2005762289MaRDI QIDQ2472043

I. M. Schoeman, B. A. Tau, Janine Mukuddem-Petersen, Mark Adam Petersen

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

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Macroeconomic theory (monetary models, models of taxation) (91B64) Economic growth models (91B62) Optimal stochastic control (93E20)

Related Items (6)

Optimizing asset and capital adequacy management in banking ⋮ Capital adequacy and risk management in banking industry ⋮ Maximizing banking profit on a random time interval ⋮ Minimizing banking risk in a Lévy process setting ⋮ Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord ⋮ Basel III and asset securitization

Cites Work

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• A variational problem arising in financial economics
• Equilibrium analysis, banking and financial instability.
• Maximizing banking profit on a random time interval
• 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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