Risk‐based Decisions on the Asset Structure of a Bank under Partial Economic Information

DOI10.1080/13504860701852486zbMATH Open1142.91585OpenAlexW2077617657MaRDI QIDQ3523657

Grzegorz Hałaj

Publication date: 5 September 2008

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860701852486

zbMATH Keywords

stochastic maximum principleportfolio optimizationpartial observationFBSDEsbank assets

Mathematics Subject Classification ID

Stochastic programming (90C15) Management decision making, including multiple objectives (90B50)

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