An investigation of the theory of bank portfolio allocation within a discrete stochastic framework using optimal control techniques

DOI10.1080/09720502.2008.10700553zbMath1141.91464OpenAlexW2330408363MaRDI QIDQ3519707

Athanasios A. Pantelous

Publication date: 19 August 2008

Published in: Journal of Interdisciplinary Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720502.2008.10700553

Mathematics Subject Classification ID

Stochastic programming (90C15) Optimal stochastic control (93E20)

Related Items (1)

Loan interest rate Nash models with solvency constraints in the banking sector

Cites Work

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• Concepts and methods for discrete and continuous time control under uncertainty
• Autoregressive rates of return and the variability of pension contributions and fund levels for a defined benefit pension scheme
• Introduction to Time Series and Forecasting

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