Risk‐based Decisions on the Asset Structure of a Bank under Partial Economic Information

DOI10.1080/13504860701852486zbMATH Open1142.91585OpenAlexW2077617657MaRDI QIDQ3523657FDOQ3523657

Authors: Grzegorz Hałaj 

Publication date: 5 September 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701852486

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zbMATH Keywords

portfolio optimizationstochastic maximum principlepartial observationFBSDEsbank assets

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stochastic programming (90C15)

Cited In (5)

• Bank asset and liability management under uncertainty
• Opaque bank assets and optimal equity capital
• Maximizing banking profit on a random time interval
• Evolving economy bank asset‐liability and risk management under uncertainty with hierarchical objectives and nonlinear pricing
• Bank management via stochastic optimal control

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