On mean–variance analysis of a bank’s behavior
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DOI: 10.1016/j.frl.2021.102292
Abstract: Abstract We consider the mean–variance utility maximization problem for banks. In particular, we consider the utility maximization problems of the portfolio return and accounting profit. Moreover, we consider balance sheet models for both conditions irrespective… read more here.
Keywords: utility maximization; bank behavior; balance sheet; mean variance ... See more keywords