Bank management via stochastic optimal control

@article{MukuddemPetersen2006BankMV,
  title={Bank management via stochastic optimal control},
  author={Janine Mukuddem-Petersen and Mark Adam Petersen},
  journal={Automatica},
  year={2006},
  volume={42},
  pages={1395-1406}
}
This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize market and capital adequacy risk that involves the safety of the securities held and the stability of sources of funds, respectively. In this regard, we suggest an optimal portfolio choice and rate of bank capital inflow that will keep the loan level as close as possible to an actuarially determined reference process. This set-up leads to a nonlinear… CONTINUE READING
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Matroosfontein, Cape Town and received her Ph.D. degree from the North-West University, Potchefstroom (NWU-PC), South Africa

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