Pelizzon, Loriana (contributor); … - 2003 - [Elektronische Ressource]
insurer.
JEL Classification: G21, G28
Keywords: Bank portfolio management, Capital requirements.
∗
We gratefully acknowledge …’s portfolio management strategy can be represented as a se-
quence of variables Θ = (θ
0
,θ
1
,.,θ
t
,.,θ
∞
)with:
θ
t … equity
value (12) and the value of capital kD, i.e.:
F (θ
∗
)=S (θ
∗
) − kD (13)
4 Bank’s optimal portfolio management
In …