Broll, Udo and Wong, WingKeung and Wu, Mojia (2013): Banking Firm and TwoMoment Decision Making.

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

Original Title:  Banking Firm and TwoMoment Decision Making 
Language:  English 
Keywords:  banking firm, investment, technology, risk, derivatives, hedging,(mu,sigma)preferences, stochastic dominance. 
Subjects:  G  Financial Economics > G2  Financial Institutions and Services > G21  Banks ; Depository Institutions ; Micro Finance Institutions ; Mortgages G  Financial Economics > G2  Financial Institutions and Services > G22  Insurance ; Insurance Companies ; Actuarial Studies 
Item ID:  51687 
Depositing User:  WingKeung Wong 
Date Deposited:  25 Nov 2013 16:17 
Last Modified:  02 Oct 2019 22:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/51687 