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    AUTOMATICA
    2006
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    Bank management via stochastic optimal control
    13 years 11 months ago
    Bank management via stochastic optimal control
    Download  www.puk.ac.za
    This paper examines a problem related to the optimal risk management of banks in a stochastic dynamic setting. In particular, we minimize7 market and capital adequacy risk that in...
    Janine Mukuddem-Petersen, Mark Adam Petersen
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