Broll, Udo; Wong, Wing-Keung; Wu, Mojia - Volkswirtschaftliche Fakultät, … - 2013
-variance (mean-standard deviation) approach to examine a banking firm investing in risky assets and hedging opportunities. The mean …-standard deviation framework can be used because our hedging model satisfies a scale and location condition. The focus of this study is … on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …