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An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks
Author
Source
Journal of Applied Mathematics
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-10, 10 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-05-02
Country of Publication
Egypt
No. of Pages
10
Main Subjects
Abstract EN
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 explicit solution of the optimal control problem and an asset value reset rule comparable to the typical practice of insolvency resolution by insuring agencies.
By way of numerical simulations, we study the effects of changes in the DI coverage horizon, the risk associated with the asset portfolio of the bank, and the bank’s initial leverage level (deposit-to-asset ratio) on the DI premium while the optimal investment strategy is followed.
American Psychological Association (APA)
Muller, Grant E.. 2018. An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks. Journal of Applied Mathematics،Vol. 2018, no. 2018, pp.1-10.
https://search.emarefa.net/detail/BIM-1176078
Modern Language Association (MLA)
Muller, Grant E.. An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks. Journal of Applied Mathematics No. 2018 (2018), pp.1-10.
https://search.emarefa.net/detail/BIM-1176078
American Medical Association (AMA)
Muller, Grant E.. An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks. Journal of Applied Mathematics. 2018. Vol. 2018, no. 2018, pp.1-10.
https://search.emarefa.net/detail/BIM-1176078
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1176078