An optimal investment and risk control policy for a bank under exponential utility

DOI10.1080/15326349.2017.1300775MaRDI QIDQ3133493zbMATH OpenOpenAlexWikidataFDO

Authors Ryle S. Perera

Publication date 2 February 2018

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15326349.2017.1300775

zbMATH Keywords

holomorphic functionBSDEBasel III capital accordcapital adequacy ratio (CAR)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10) Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44)

Recommendations

• An optimal investment strategy in bank management
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
• An optimal portfolio and capital management strategy for basel III compliant commercial banks
• Bank management via stochastic optimal control
• scientific article; zbMATH DE number 7015495

Cited in

(4)

• An optimal investment strategy in bank management
• An Excursion-Theoretic Approach to Regulator’s Bank Reorganization Problem
• An optimal investment strategy and multiperiod deposit insurance pricing model for commercial banks
• An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques

This page was built for publication: An optimal investment and risk control policy for a bank under exponential utility

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3133493)