Bank management via stochastic optimal control

DOI10.1016/j.automatica.2006.03.012zbMath1108.93079OpenAlexW2067091303MaRDI QIDQ2507935

Janine Mukuddem-Petersen, Mark Adam Petersen

Publication date: 5 October 2006

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2006.03.012

zbMATH Keywords

dynamic programming: stochastic optimal controlfinance: managementfinancial institutions: banks

Mathematics Subject Classification ID

Related Items (10)

An application of dynamic programming principle in corporate international optimal investment and consumption choice problem ⋮ Optimizing asset and capital adequacy management in banking ⋮ Capital adequacy and risk management in banking industry ⋮ Stochastic differential game in high frequency market ⋮ 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 ⋮ An optimal investment strategy in bank management ⋮ Did bank capital regulation exacerbate the subprime mortgage crisis? ⋮ An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks

Cites Work

• Transversality condition and optimality in a class of infinite horizon continuous time economic models
• On a sufficient transversality condition for infinite horizon optimal control problems
• Necessity of transversality conditions for stochastic problems.
• STOCHASTIC APPROACH TO DIVIDEND EQUALIZATION FUND MODELLING AND SOLVENCY
• Continuous-time stochastic modelling of capital adequacy ratios for banks
• Necessity of Transversality Conditions for Infinite Horizon Problems
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