摘要
借鉴消费者效用最优化模型及有关经济学理论,构建了银行资产业务的风险无差异曲线和收益率曲线,在图形上确定了资产最优投资头寸、经济资本最优配置;通过单资产业务经济资本配置的实证,论证了经济资本配置的实质,提出了改进的建议。
Referring to consumer optimization model and the related economic theories,we build the risk indifference curve and earning curve for the asset business.The optimal allocation of the economic capital is determined in the graphs.By the verification of the allocation of single-asset business,we demonstrate the essence of the economic capital allocation and give some suggestions.
出处
《长春工业大学学报》
CAS
2010年第5期584-590,共7页
Journal of Changchun University of Technology
基金
辽宁省教育厅科学技术基金资助项目(WT2010012)
