Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms
Shin-Heng Pao, Jyh-Horng Lin (2008)
The Yugoslav Journal of Operations Research
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Displaying similar documents to “Bank valuation and its connections with the subprime mortgage crisis and basel II capital accord.”
Financial Claims and Product Market Competition: an Explanation for Permitting Banks to Hold Equity in Firms
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A stochastic programming approach to managing liquid asset portfolios
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Maintaining liquid asset portfolios involves a high carry cost and is mandatory by law for most financial institutions. Taking this into account a financial institution's aim is to manage a liquid asset portfolio in an “optimal” way, such that it keeps the minimum required liquid assets to comply with regulations. In this paper we propose a multi-stage dynamic stochastic programming model for liquid asset portfolio management. The model allows for portfolio rebalancing decisions over...