ways to manage risk of which one of the most important forms is interest rate risk. In this paper we use the mean … on how interest rate risk affects optimal bank investment in the loan and deposit market when derivatives are available …

Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty: a random asset price … and inflation risk. Both sources of uncertainty make it difficult to stabilize consumption over time. However, investors … can enter risk-sharing markets, such as futures markets, to manage these risks. We develop a dynamic risk management model …