Dynamic asset allocation for a bank under CRRA and HARA framework
Year of publication: |
2015
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Authors: | Perera, Ryle S. |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 3, p. 1-19
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Subject: | Bank asset allocation | Basel II CAR | CRRA utility | HARA utility | stochastic interest rate | Theorie | Theory | Portfolio-Management | Portfolio selection | Basler Akkord | Basel Accord | Risikoaversion | Risk aversion | Bank |
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