Capital allocation strategy for commercial banks

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Abstract/Contents

Abstract: This dissertation analyzes the capital allocation problem for commercial banks with the objective of maximizing long-term growth rate of wealth. In particular, a bank is faced with the problem of deciding how to allocate its capital into the available multi-period commercial loan products. Under common financial regulations and mild assumptions concerning the bank's internal policies, we prove the existence of a policy that yields the near-optimal long-term growth rate almost surely. The almost sure property implies that it is the best policy for policy makers, regardless of their risk tolerance levels, who wish to maximize the bank's long-term growth rate of wealth. Since the exact algorithms for this problem usually have an impractical computational complexity, we provide an efficient approximate algorithm to solve for an approximated policy and demonstrate its effectiveness in a numerical example.

Type of resource	text
Form	electronic; electronic resource; remote
Extent	1 online resource.
Publication date	2013
Issuance	monographic
Language	English

Associated with	Mudchanatongsuk, Supakorn
Associated with	Stanford University, Department of Management Science and Engineering.
Primary advisor	Luenberger, David G, 1937-
Primary advisor	Primbs, James
Thesis advisor	Luenberger, David G, 1937-
Thesis advisor	Primbs, James
Thesis advisor	Weyant, John P. (John Peter)
Advisor	Weyant, John P. (John Peter)

Genre	Theses

Statement of responsibility	Supakorn Mudchanatongsuk.
Note	Submitted to the Department of Management Science and Engineering.
Thesis	Thesis (Ph.D.)--Stanford University, 2013.
Location	electronic resource

License: This work is licensed under a Creative Commons Attribution Non Commercial 3.0 Unported license (CC BY-NC).

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