Dynamic bank portfolio hedging of investment and loan repayment risk within a stochastic continuous framework using optimal control theory

DOI10.1080/09720510.2008.10701313zbMath1157.91369OpenAlexW2146308914MaRDI QIDQ3602354

Publication date: 12 February 2009

Published in: Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/09720510.2008.10701313

zbMATH Keywords

stochastic optimal control HJB equation Bank portfolio allocation loan repayment inconsistency

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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