An optimal investment and risk control policy for a bank under exponential utility

DOI10.1080/15326349.2017.1300775zbMath1408.91241OpenAlexW2606139972WikidataQ115549780 ScholiaQ115549780MaRDI QIDQ3133493

Ryle S. Perera

Publication date: 2 February 2018

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2017.1300775

zbMATH Keywords

holomorphic functionBSDEBasel III capital accordcapital adequacy ratio (CAR)

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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