Bookcover of Modelling of Asset Allocation
Booktitle:

Modelling of Asset Allocation

in Banking Using the Mean-variance Approach

LAP LAMBERT Academic Publishing (2019-11-21 )

Books loader

Omni badge eligible for voucher
ISBN-13:

978-620-0-46984-7

ISBN-10:
6200469849
EAN:
9786200469847
Book language:
English
Blurb/Shorttext:
Bank asset management mainly involves profit maximization through investment in loans giving high returns on loans, investment in securities for reducing risk and providing liquidity needs. In particular, commercial banks grant loans to creditors who pay high interest rates and are not likely to default on their loans. Furthermore, the banks purchase securities with high returns and low risk. In addition, the banks attempt to lower risk by diversifying their asset portfolio. In this book, we solve an optimal asset allocation problem in banking under the mean-variance frame work. The dynamics of the different assets are modelled as geometric Brownian motions, and our optimization problem is of the meanvariance type.
Publishing house:
LAP LAMBERT Academic Publishing
Website:
https://www.lap-publishing.com/
By (author) :
Bosiu C. Kaibe
Number of pages:
68
Published at:
2019-11-21
Stock:
Available
Category:
Law, Occupation, Finances
Price:
39.90 €
Keywords:
Bank assets, Optimal Control, dynamic programming, mean-variance, efficient frontier, Hamilton Jacobi Bellman equation, Portfolio, Basel II, Treasuries, capital adequacy

Books loader

Newsletter

Adyen::amex Adyen::mc Adyen::visa Adyen::cup Adyen::unionpay Paypal Wire Transfer

  0 products in the shopping cart
Edit cart
Loading frontend
LOADING