Essays about: "Partial Portfolio Approach"

Found 3 essays containing the words Partial Portfolio Approach.

  1. 1. Equilibrium Strategies for Time-Inconsistent Stochastic Optimal Control of Asset Allocation

    University essay from KTH/Optimeringslära och systemteori

    Author : Johan Dimitry El Baghdady; [2017]
    Keywords : Stochastic optimal control; dynamic programming; asset allocation; non-cooperative games; subgame perfect Nash equilibrium; time-inconsistency; dynamic portfolio optimization; mean-variance; state dependent risk aversion; extended Hamilton-Jacobi-Bellman; execution algorithms.; Stokastisk optimal styrning; dynamisk programmering; tillgångsallokering; icke-kooperativa spel; Nashjämvikt; tidsinkonsistens; dynamisk portföljoptimering; avvägning mellan förväntad avkastning och varians; tillståndsberoende riskhantering; utökad Hamilton-Jacobi-;

    Abstract : We have examinined the problem of constructing efficient strategies for continuous-time dynamic asset allocation. In order to obtain efficient investment strategies; a stochastic optimal control approach was applied to find optimal transaction control. READ MORE

  3. 2. To Measure Concentration Risk - A comparative study

    University essay from Lunds universitet/Matematisk statistik

    Author : Alma Broström; Hanna Scheibenpflug; [2017]
    Keywords : Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

    Abstract : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. READ MORE

  4. 3. Customers’ Perception on their Satisfaction about the Private Banks in a Developing Country : A perspective of Private Banks in Bangladesh

    University essay from Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Md Mahmudul Alam Akanda; Jasmin Dzeko; [2016]
    Keywords : Customers’ perception; Customers’ satisfaction; Private banks; Developing country; American Customer Satisfaction Index ACSI .;

    Abstract : Customers’ satisfaction is a decisive factor in the development process of business which has also an effective impact on contributing a country's GDP. Private banks have been emerged over the time in developing countries where customers’ satisfaction is the driven force of banking industry investigated in Bangladesh. READ MORE