Optimal risk and liquidity management with costly refinancing opportunities
Year of publication: |
2014
|
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Authors: | Barth, Andrea ; Moreno-Bromberg, Santiago |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 57.2014, p. 31-45
|
Subject: | Liquidity management | Risk exposure | Singular stochastic control | Stochastic impulse control | Kontrolltheorie | Control theory | Stochastischer Prozess | Stochastic process | Risikomanagement | Risk management | Bankenliquidität | Bank liquidity | Portfolio-Management | Portfolio selection |
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