Bank management via stochastic optimal control

被引：26

作者：

Mukuddem-Petersen, Janine

Petersen, Mark A.

机构：

[1] Department of Mathematics and Applied Mathematics, North-West University, Potchefstroom

来源：

AUTOMATICA | 2006年 / 42卷 / 08期

基金：

新加坡国家研究基金会;

关键词：

dynamic programming; stochastic optimal control; financial institutions; banks; finance; management;

D O I：

10.1016/j.automatica.2006.03.012

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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 stochastic optimal control problem whose solution may be determined by means of the dynamic programming algorithm. The above analysis is reliant on the construction of continuous-time stochastic models for bank behaviour upon which a spread method for loan capitalization is imposed. (c) 2006 Elsevier Ltd. All rights reserved.

引用

页码：1395 / 1406

页数：12

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[3]

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[4]

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