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论文类型：会议论文

发表时间：2010-01-01

收录刊物：CPCI-SSH

页面范围：230-233

关键字：risk-free investment and financing; efficient frontier; loan portfolio; Value at Risk (VAR); utility maximization

摘要：Taking risk-free investment and financing items into account, which is,already available for commercial banks,,this paper will form a new loan investment efficient frontier for commercial banks It will build on the theory of the Markowitz H Portfolio selection to determine the best portfolio for risky loans first Then It is possible by restricting the new efficient frontier further by Value at,Risk (VAR), whose aim is to control investment risk within investors' tolerance Finally, it will employ the utility function to make final investment ratio decisions for maximization of the utility of commercial banks The major innovation of this paper is investment and financing on items of little to no risk are considered when making investment decisions for commercial,banks This has seldom been done in this field before. Furthermore, the restrictions of VAR when divided by the expected returns are added to,ensure that commercial banks bear risk reasonably