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Author: Janke, Oliver
Publisher: Lehmanns Media
ISBN: 396543506X
Category : Business & Economics
Languages : en
Pages : 244
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Book Description
In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Author: Janke, Oliver
Publisher: Lehmanns Media
ISBN: 396543506X
Category : Business & Economics
Languages : en
Pages : 244
Get Book Here
Book Description
In this thesis, we analyze various problems of dynamic portfolio optimization as well as green capital requirements under risk constraints and incomplete information. First, we examine the problem of optimal expected utility under the constraint of a utility-based shortfall risk measure in an incomplete market. The existence and uniqueness of an optimal solution to the problem are shown using a Lagrange multiplier and duality methods. Second, we consider the optimization problem under various levels of the investor’s information. By using martingale representation theorems, we demonstrate the existence and uniqueness of optimal solutions, which differ in their market dynamics. Third, we analyze the effects of green- and brownwashing on banks’ lending to firms, on the regulator’s deposit insurance subsidy, and on carbon emissions under different green capital requirement functions. Furthermore, we show that green capital requirements may compromise financial stability.
Author: John McCombie
Publisher: Routledge
ISBN: 1134340311
Category : Business & Economics
Languages : en
Pages : 351
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Book Description
This impressive collection explores the relationship between a country's balance of payments and their rate of economic growth.
Author: Lewis Gaul
Publisher: CreateSpace
ISBN: 9781505310306
Category :
Languages : en
Pages : 32
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Book Description
In credit markets, asymmetric information problems arise when borrowers have private information about their creditworthiness that is not observable by lenders. If these informational asymmetries do not negatively affect lenders' profitability, then they are irrelevant to lenders.
Author: Klaus Hammes
Publisher: Department of Economics School of Economics and Commercial Law Go
ISBN:
Category : Capital investments
Languages : en
Pages : 188
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Book Description
Author: Walter P. Heller
Publisher: Cambridge University Press
ISBN: 9780521327046
Category : Business & Economics
Languages : en
Pages : 316
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Book Description
The third in a series of volumes published in honour of Professor Kenneth J. Arrow, each covering a different area of economic theory.
Author: Giovanni Maggi
Publisher:
ISBN:
Category : Commercial policy
Languages : en
Pages : 162
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Book Description
Author: Kenneth Joseph Arrow
Publisher: Cambridge University Press
ISBN: 9780521304559
Category : Business & Economics
Languages : en
Pages : 348
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Book Description
This second volume of economic theory is divided into sections on general equilibrium and on the microfoundations of macroeconomics.
Author: Walter P. Heller
Publisher: Cambridge University Press
ISBN: 9780521304542
Category : Business & Economics
Languages : en
Pages : 244
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Book Description
The first of three volumes of essays in honour of the distinguished economic theorist Professor Kenneth J. Arrow.
Author: Mr.Giovanni Dell'Ariccia
Publisher: International Monetary Fund
ISBN: 145195154X
Category : Business & Economics
Languages : en
Pages : 32
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Book Description
The paper analyzes the effects of informational asymmetries on the market structure of the banking industry in a multi-period model of spatial competition. All lenders face uncertainty with regard to borrowers’ creditworthiness, but, in the process of lending, incumbent banks gather proprietary information about their clients, acquiring an advantage over potential entrants. These informational asymmetries are an important determinant of the industry structure and may represent a barrier to entry for new banks. The paper shows that, in contrast with traditional models of horizontal differentiation, the steady-state equilibrium is characterized by a finite number of banks even in the absence of fixed costs.
Author: Luis Rayo
Publisher:
ISBN:
Category :
Languages : en
Pages : 164
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Book Description
