Risk-based decisions on assets structure of a bank — partially observed economic conditions

摘要

A model of bank’s dynamic asset management problem in case of partiallyobserved future economic conditions and requirements concerninglevel of risk taken has been built. It requires solving the resulting optimalcontrol with random terminal condition resulting from partial observationof parameter of maximized functional. Stochastic Maximum Principle reducesthe problem to solving FBSDE. As optimization may usually implydependence of forward equation on solutions of backward equation we allowthe drift and diffusion of forward part to be functions of solution ofbackward equation. The necessary conditions for existence of solutions ofFBSDE in such a form have been derived. A numerical scheme is thenimplemented for a particular choice of parameters of the problem.