FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2959041572> ?p ?o ?g. }

• W2959041572 abstract "Asset allocation theory and practice has been applied to many problems of institutional investors. In this dissertation, we consider the following two problems:Abstract i) Optimal portfolio and spending rules for endowment funds.Abstract ii) Capital adequacy management for banks in the Levy market.Abstract Part I: We investigate the role of different spending rules in a dynamic asset allocation model for an endowment fund. In particular, we derive the optimal portfolios under the consumption-wealth ratio rule (CW strategy) and the hybrid rule (hybrid strategy) and compare them with a theoretically optimal (Merton's) strategy for both spending and portfolio allocation. Furthermore, we show that the optimal portfolio is less risky with habit as compared with the optimal portfolio without habit. Similarly, the optimal portfolio under hybrid strategy is less risky than both CW and Merton's strategy for given set of constant parameters. Thus, endowments following hybrid spending rule use asset allocation to protect spending. Our calibrated numerical analysis on US data shows that the consumption under hybrid strategy is less volatile as compared to other strategies. However, hybrid strategy comparatively outperforms the conventional Merton's strategy and CW strategy when the market is highly volatile but under-performs them when there is a low volatility. Overall, the hybrid strategy is effective in terms of stability of spending and intergenerational equity because, even if it allows fluctuation in spending in the short run, it guarantees the convergence of spending towards its long term mean. Abstract Part II: We investigate the capital adequacy management and asset allocation problems for a bank whose risk process follows a jump-diffusion process. Capital adequacy management problem is based on regulations in Basel III Capital Accord such as the capital adequacy ratio (CAR) which is calculated by the dividing the bank capital by total risk-weighted assets (TRWAs). Capital adequacy management requires a bank to reserve a certain amount for liquidity. We derive the optimal investment portfolio for a bank with constant absolute risk aversion (CARA) preferences and then the capital adequacy ratio process of the bank is derived, conditional on the optimal policy chosen." @default.
• W2959041572 created "2019-07-23" @default.
• W2959041572 creator A5034392412 @default.
• W2959041572 date "2018-04-04" @default.
• W2959041572 modified "2023-09-23" @default.
• W2959041572 title "Application of Stochastic Optimal Control in Finance" @default.
• W2959041572 doi "https://doi.org/10.6092/tdunibg_77397" @default.
• W2959041572 hasPublicationYear "2018" @default.
• W2959041572 type Work @default.
• W2959041572 sameAs 2959041572 @default.
• W2959041572 citedByCount "0" @default.
• W2959041572 crossrefType "journal-article" @default.
• W2959041572 hasAuthorship W2959041572A5034392412 @default.
• W2959041572 hasConcept C106159729 @default.
• W2959041572 hasConcept C126255220 @default.
• W2959041572 hasConcept C139819358 @default.
• W2959041572 hasConcept C149782125 @default.
• W2959041572 hasConcept C162324750 @default.
• W2959041572 hasConcept C170131372 @default.
• W2959041572 hasConcept C175444787 @default.
• W2959041572 hasConcept C17744445 @default.
• W2959041572 hasConcept C199539241 @default.
• W2959041572 hasConcept C199728807 @default.
• W2959041572 hasConcept C2780821815 @default.
• W2959041572 hasConcept C33923547 @default.
• W2959041572 hasConcept C91575142 @default.
• W2959041572 hasConcept C91602232 @default.
• W2959041572 hasConceptScore W2959041572C106159729 @default.
• W2959041572 hasConceptScore W2959041572C126255220 @default.
• W2959041572 hasConceptScore W2959041572C139819358 @default.
• W2959041572 hasConceptScore W2959041572C149782125 @default.
• W2959041572 hasConceptScore W2959041572C162324750 @default.
• W2959041572 hasConceptScore W2959041572C170131372 @default.
• W2959041572 hasConceptScore W2959041572C175444787 @default.
• W2959041572 hasConceptScore W2959041572C17744445 @default.
• W2959041572 hasConceptScore W2959041572C199539241 @default.
• W2959041572 hasConceptScore W2959041572C199728807 @default.
• W2959041572 hasConceptScore W2959041572C2780821815 @default.
• W2959041572 hasConceptScore W2959041572C33923547 @default.
• W2959041572 hasConceptScore W2959041572C91575142 @default.
• W2959041572 hasConceptScore W2959041572C91602232 @default.
• W2959041572 hasLocation W29590415721 @default.
• W2959041572 hasOpenAccess W2959041572 @default.
• W2959041572 hasPrimaryLocation W29590415721 @default.
• W2959041572 hasRelatedWork W147295933 @default.
• W2959041572 hasRelatedWork W1516710107 @default.
• W2959041572 hasRelatedWork W1538613057 @default.
• W2959041572 hasRelatedWork W1554909173 @default.
• W2959041572 hasRelatedWork W1970101666 @default.
• W2959041572 hasRelatedWork W1986518591 @default.
• W2959041572 hasRelatedWork W1987734564 @default.
• W2959041572 hasRelatedWork W1995286992 @default.
• W2959041572 hasRelatedWork W2021824814 @default.
• W2959041572 hasRelatedWork W2167118800 @default.
• W2959041572 hasRelatedWork W2341714598 @default.
• W2959041572 hasRelatedWork W2384517065 @default.
• W2959041572 hasRelatedWork W25129473 @default.
• W2959041572 hasRelatedWork W2911572504 @default.
• W2959041572 hasRelatedWork W2983275570 @default.
• W2959041572 hasRelatedWork W3023218092 @default.
• W2959041572 hasRelatedWork W3121580365 @default.
• W2959041572 hasRelatedWork W3121877751 @default.
• W2959041572 hasRelatedWork W3122658804 @default.
• W2959041572 hasRelatedWork W3150007845 @default.
• W2959041572 isParatext "false" @default.
• W2959041572 isRetracted "false" @default.
• W2959041572 magId "2959041572" @default.
• W2959041572 workType "article" @default.