An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks
We employ the method of stochastic optimal control to derive the optimal investment strategy for maximizing an expected exponential utility of a commercial bank’s capital at some future date T>0. In addition, we derive a multiperiod deposit insurance (DI) pricing model that incorporates the expli...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2018-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2018/8942050 |
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