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

DOI10.1080/15326349.2017.1300775zbMATH Open1408.91241OpenAlexW2606139972WikidataQ115549780 ScholiaQ115549780MaRDI QIDQ3133493FDOQ3133493

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

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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)

Cited In (4)

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

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