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

DOI10.1080/13504860701852486MaRDI QIDQ3523657zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

portfolio optimizationstochastic maximum principlepartial observationFBSDEsbank assets

Mathematics Subject Classification ID

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

Recommendations

• Evolving economy bank asset‐liability and risk management under uncertainty with hierarchical objectives and nonlinear pricing
• Bank asset and liability management under uncertainty
• Optimal risk-return trade-offs of commercial banks and the suitability measures for loan portfolios
• Risk-return optimization of the bank portfolio
• Expectation dependence: the banking firm under risk
• Bank's capital structure under non-diversifiable risk
• A mechanism of effective allocation of resources of a bank under conditions of probabilistic uncertainty
• Endogenous bank risk and efficiency
• Optimal design of bank regulation under aggregate risk

Cited in

(5)

• Bank management via stochastic optimal control
• 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

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