Browsing Philosophiae Doctor - PhD (Mathematics) by Author "Muller, Grant Envar"
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Optimal asset allocation and capital adequacy management strategies for Basel III compliant banks
Muller, Grant Envar (University of the Western Cape, 2015)In this thesis we study a range of related commercial banking problems in discrete and continuous time settings. The first problem is about a capital allocation strategy that optimizes the expected future value of a commercial ...