摘要: The economic environment for financial institutions has become increasingly risky. Hence these must find ways to manage risk of which one the most important forms is credit risk. In this paper we use mean-variance (mean-standard deviation) approach examine a banking firm investing in risky assets and hedging opportunities. mean-standard deviation framework can be used because our model satisfies scale location condition. focus study on how affects optimal bank investment loan deposit market when derivatives are available. Furthermore explore relationship among first- second-degree stochastic dominance efficient sets set.
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