On mean-variance analysis of a bank's behavior
On mean-variance analysis of a bank's behavior
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银行行为的均值方差分析
DOI：
10.1016/j.frl.2021.102292
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发表时间：
2022
影响因子：
10.4
通讯作者：
Ishinagi Yoshikazu
中科院分区：
文献类型：
--
作者：
Takino Kazuhiro;Ishinagi Yoshikazu
我们考虑银行的均值-方差效用最大化问题。特别地，我们考虑了投资组合收益和会计利润的效用最大化问题。此外，我们考虑两种情况下的资产负债表模型，而不管负债方的项目是否在资产方面内部化。校准结果表明，只要资产负债表内部化，效用最大化模型对投资组合收益和会计利润的拟合精度没有显著差异。因此，资产负债表模型的内部化对于描述银行的行为非常重要。
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 of whether the items on the liability side are internalized in terms of assets. The calibration result shows that there is no significant difference in the accuracies of the fit of the utility maximization models for the portfolio return and accounting profit as long as the balance sheet is internalized. Therefore, internalization of the balance sheet model is important to describe the bank’s behavior.