Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory (Q3602354)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory |
scientific article |
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Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory (English)
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12 February 2009
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Bank portfolio allocation
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loan repayment inconsistency
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stochastic optimal control
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HJB equation
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