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Journal articles on the topic 'The valuation of the deposit portfolio'

Author: Grafiati

Published: 30 May 2022

Last updated: 31 July 2025

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1

Lin, Jyh-Horng, and Chuen-Ping Chang. "Liquidity management and futures hedging under deposit insurance: An option-based analysis." Yugoslav Journal of Operations Research 14, no. 2 (2004): 209–18. http://dx.doi.org/10.2298/yjor0402209l.

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Theories on financial futures hedging are generally based on a portfolio-choice approach. This paper presents an alterative: a firm-theoretic model of bank behavior with financial futures under deposit insurance. Assuming that the bank is a certificate of deposit (CD) rate-setter and faces random CDs, expressions for the optimal futures hedge are derived under the option-based valuation. When the bank is in a bad state of the world, a decrease in the short position of the futures decreases the loan rate and increases the CD rate; an increase in the deposit insurance premium increases the loan

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2

Ajiboye, Oyewole Oladunni, and Adebayo Olagunju. "Investment Decision and Market Value of Nigerian Listed Deposit Money Banks." FUDMA Journal of Accounting and Finance Research [FUJAFR] 1, no. 3 (2024): 87–99. http://dx.doi.org/10.33003/fujafr-2023.v1i3.67.87-99.

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This study considered the influence of investment decision on the market value of Nigerian listed deposit money banks (DMBs). Ex-post facto research design was employed. Secondary sources were used to gather information on market value and investment decisions. These sources included the annual reports of the banks that were sampled from 2010 to 2021. Out of the total population of 14 listed banks as of December 31, 2021, twelve (12) listed DMBs were chosen using the purposive sample technique. For data analysis, panel regression, correlation, and descriptive were tools employed. The outcome s

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3

Rojas Rincón, Joan Sebastián, Andrés Mauricio Mejía Martínez, Andrés Ricardo Riveros Tarazona, and Julio César Acosta-Prado. "Analysis of Systemic Risk on the Financial Performance during the COVID-19 Pandemic: The Case of the Colombian Banking Industry." Sustainability 16, no. 5 (2024): 1716. http://dx.doi.org/10.3390/su16051716.

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This study seeks to analyze the financial performance of the Colombian banking industry during the COVID-19 pandemic. The frame of reference is based on the concept of systemic risk; concerning this, the pandemic is conceived as an external shock, which impacted the dynamics of the banking industry. To conduct this study, a descriptive-correlational scope is proposed, from which an analysis of different accounting items related to the banking business is made and validated by expert judgment. The analysis horizon covers six years, but the focus is placed on March 2020, when COVID-19 was declar

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4

Hastings, David F. "Portfolio valuation in banks." Revista de Administração de Empresas 41, no. 1 (2001): 35–44. http://dx.doi.org/10.1590/s0034-75902001000100005.

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Frequent references are made to the use of portfolio spread rates in managing financial risks in banks, but indications as to the procedures for determining such rates are very scant.The purpose of this article is to present some initial ideas on the subject: a Standard Funding system indicates what each portfolio should have earned, while an Actual Funding system points out what each portfolio did, in fact, earn; additionally, by comparing the outcomes of the two funding systems for each portfolio, it is possible to determine what each portfolio earned (or lost) in the way of arbitrage.

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5

LAY FRICS, R. N. "REAL ESTATE PORTFOLIO VALUATION." Journal of Valuation 6, no. 3 (1988): 214–30. http://dx.doi.org/10.1108/eb008026.

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6

Du Toit, S. G., and J. D. Krige. "The price-to-book effect on the JSE: Valuation disparities and subsequent performance." South African Journal of Business Management 45, no. 4 (2014): 93–99. http://dx.doi.org/10.4102/sajbm.v45i4.143.

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The purpose of this study was to determine whether the relative out- or underperformance of a value portfolio versus a growth portfolio can be anticipated in advance by comparing a valuation difference multiple with the subsequent fiveyear relative performance of the value and growth portfolios. The valuation difference multiple was calculated as the median price-to-book value (P/B) ratio of the growth portfolio divided by the median P/B ratio of the value portfolio. Using monthly data for the period 1991 to 2011, this study found that in most instances the higher the valuation difference mult

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7

Sachin, Kale, and Arvind Janardhan Vatkar. "10 important financial investments for orthopods in India." Journal of Clinical Orthopaedics 8, no. 2 (2023): 3–4. http://dx.doi.org/10.13107/jcorth.2023.v08i02.576.

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Orthopedic surgeons are usually well-versed in the medical parts of their career, but they may be less so in the financial aspects. The purpose of this article is to present orthopedic surgeons with a list of ten critical financial investments that will help them ensure their financial future and improve their practice. Orthopedic doctors may make educated decisions and develop a sound financial foundation for their careers and retirement by considering these investing alternatives. The article will discuss a variety of investment possibilities, including stocks, bonds, real estate, and altern

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8

Рабаданова, Д. А., А. М. Эминова, and Л. Ш. Султанова. "Evaluation of the deposit portfolio of the banking sector of the Russian Federation and ways of expanding deposit operations of banks." Экономика и предпринимательство, no. 2(127) (April 11, 2021): 1423–26. http://dx.doi.org/10.34925/eip.2021.127.2.289.

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В статье рассматривается роль, сущность и необходимость оценки депозитного портфеля банковского сектора России. В данной научной работе определены основные показатели депозитного портфеля, выявлены динамика изменения величины депозитного портфеля банковского сектора, в том числе определены причины этих изменений. Также определяются факторы, которые оказывают влияние на формирование депозитного портфеля и основные пути расширения депозитных операций банков. The article examines the role, essence and necessity of assessing the deposit portfolio of the Russian banking sector. In this scientific w

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9

Fojtík, Jan, Jiří Procházka, and Pavel Zimmermann. "Approximate Valuation of Life Insurance Portfolio with the Cluster Analysis: Trade-Off Between Computation Time and Precision." Statistika: Statistics and Economy Journal 101, no. 4 (2021): 406–21. http://dx.doi.org/10.54694/stat.2021.23.

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Valuation of the insurance portfolio is one of the essential actuarial tasks. Life insurance valuation is usually based on a projection of cash flows for each policy which is demanding computation time. Furthermore, modern financial management requires multiple valuations under different scenarios or input parameters. A method to reduce computation time while preserving as much accuracy as possible based on cluster analysis is presented. The basic idea of the method is to replace the original portfolio by a smaller representative portfolio based on clusters with some weights that would ensure

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10

Tchiotashvili, David, and Khaliana Chitadze. "Deposit insurance risk portfolio investment policy, management and results in Georgia." InterConf, no. 47(209) (July 19, 2024): 99–109. http://dx.doi.org/10.51582/interconf.19-20.07.2024.008.

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Deposit insurance is a widely tested, dynamic, stable and effective mechanism in the world, which in turn involves the investment policy of the deposit insurance risk portfolio, its effective management and ensures protection of deposits from various types of financial risks in the event of an insurance event. Based on the correct and targeted investment policy, effective management and achieved results of the deposit insurance risk portfolio, we can safely say that the reform, which was introduced in 2018 in accordance with the best international practices and taking into account the recommen

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11

Lanchakov, A. B., S. A. Filin, and A. Zh Yakushev. "Project portfolio valuation using real options." Financial Analytics: Science and Experience 13, no. 2 (2020): 126–46. http://dx.doi.org/10.24891/fa.13.2.126.

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Subject. The article analyzes the expected effect of a portfolio of projects in the face of risk and uncertainty, when using real options. Objectives. The purpose is to offer a more objective formula to assess the expected impact of a portfolio of projects for real investment objects under risk and uncertainty, using real options, and provide recommendations for improving the portfolio efficiency. Methods. The study draws on methods of real options and evaluation of investment projects through the real option value, the cash flow discounting method, synthesis, and mathematical modeling. Result

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12

Aremu, Paul Olabode. "Assets Valuation, Mergers and Acquisitions of Business Organisations in Nigeria." Journal of Finance and Accounting 7, no. 1 (2023): 60–75. http://dx.doi.org/10.53819/81018102t4123.

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Although merger and acquisition is very crucial to the growth of organizations, to assess the potential profit and benefits of mergers and acquisitions, company valuation is required. Nevertheless it seems that wrong valuation choices has affected the decisions of many organization as regarding which company to merge with or which one to acquire and this has also affected many business organization. Studies have had inconclusive findings thereby creating a gap which needs to be filled. Hence, this study examined the effect of assets valuation on mergers, and acquisition of selected money depos

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13

Buchwalder, Markus, Hans Bühlmann, Michael Merz, and Mario V. Wüthrich. "Valuation portfolio in non-life insurance." Scandinavian Actuarial Journal 2007, no. 2 (2007): 108–25. http://dx.doi.org/10.1080/03461230701251455.

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14

Laeven, Roger J. A., and Mitja Stadje. "Robust Portfolio Choice and Indifference Valuation." Mathematics of Operations Research 39, no. 4 (2014): 1109–41. http://dx.doi.org/10.1287/moor.2014.0646.

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15

Tian, Yu, Ron Rood, and Cornelis W. Oosterlee. "Efficient portfolio valuation incorporating liquidity risk." Quantitative Finance 13, no. 10 (2013): 1575–86. http://dx.doi.org/10.1080/14697688.2013.779013.

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16

Putri, Endah RM, Venansius R. Tjahjono, and Daryono B. Utomo. "An Analytic Valuation of a Deposit Insurance." MATEMATIKA 34, no. 3 (2018): 115–28. http://dx.doi.org/10.11113/matematika.v34.n3.1144.

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A deposit insurance is a measure to protect bank’s depositors fully or partly from the risk of losses caused by the banks failure to pay its debts when due. If the bank does not meet the payment since the asset value of the bank is less than debt, the guarantor will do the payment and take over the bank’s assets. The role of the guarantor is considered as a deposit insurance. Similar mechanism of the insurance to the European put option model, motivates the use of a Black-Scholes model in the valuation. The deposit insurance model is solved using a Fourier transform method analytically. Numeri

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17

Chang, Chuang‐Chang, San‐Lin Chung, Ruey‐Jenn Ho, and Yu‐Jen Hsiao. "Revisiting the valuation of deposit insurance." Journal of Futures Markets 42, no. 1 (2021): 77–103. http://dx.doi.org/10.1002/fut.22284.

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18

Cheridito, Patrick, John Ery, and Mario V. Wüthrich. "Assessing Asset-Liability Risk with Neural Networks." Risks 8, no. 1 (2020): 16. http://dx.doi.org/10.3390/risks8010016.

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We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio contains structured products or complex insurance contracts which do not admit closed form valuation formulas. We illustrate the method on different examples from banking and insurance. We focus on value-at-risk and expected shortfall, but the approach also works for other risk measures.

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19

Ndonye, Paul, and Jagongo Ambrose. "A research agenda on portfolio diversification, government regulations, and the financial performance of deposit-taking SACCOs in Nairobi County, Kenya." International Journal of Research in Business and Social Science (2147- 4478) 12, no. 4 (2023): 238–44. http://dx.doi.org/10.20525/ijrbs.v12i4.2621.

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The purpose of this study is to examine the relationship between portfolio diversification, government regulations, and the financial performance of DT SACCOs in Nairobi County, Kenya. It aims to determine the impact of financial asset investment on the financial performance of deposit-taking SACCOs in Nairobi County, Kenya; the impact of loan portfolios on the financial performance of deposit-taking SACCOs in Nairobi County; and the moderating effect of government regulations on the relationship between portfolio diversification and the financial performance of deposit-taking SACCOs in Nairob

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20

Andros, Svitlana, Liudmyla Akimova, and Oksana Butkevich. "Innovations in Management of Banks Deposit Portfolio: Structure of Customer Deposit." Marketing and Management of Innovations, no. 2 (2020): 206–20. http://dx.doi.org/10.21272/mmi.2020.2-15.

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The economic and statistical analysis of the bank's deposit portfolio by the structure of deposits has been performed. An algorithm for grouping deposits by type of client, amount, maturity, and interest rate is proposed and tested. A technique is proposed for analyzing the influence of the type of forming factors: the amount, term, and interest rate on the change in the number of dividends on a bank deposit. The influence of each type of deposit on the overall increase in interest payments is determined. The purpose of the article is to improve the methodological approach to the effective man

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21

Duan, Yapeng, and Wenqing Wei. "Valuation Analysis of Semiconductor Industry of US Based on Portfolio Principle." Advances in Economics, Management and Political Sciences 47, no. 1 (2023): 1–9. http://dx.doi.org/10.54254/2754-1169/47/20230360.

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Many of the world's semiconductor R&D, production and manufacturing technology companies are going public in the US, hoping to leverage the power of US stock market capitalization to promote their own companies and industries. Valuation of the semiconductor industry is therefore essential. This study evaluates US-listed semiconductor companies based on portfolio principles with an enterprise value greater than $50billion. In the benchmark portfolio, individual stocks weights are assigned in accordance with the enterprise value weighting and a number of indicators are calculated based on fu

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22

Akinsulire, Adetola Adewale, and Tochi Chimaobi Ohakawa. "Real Estate Portfolio Valuation Techniques to Unlock Funding for Affordable Housing." Journal of Frontiers in Multidisciplinary Research 4, no. 2 (2023): 52–67. https://doi.org/10.54660/.ijfmr.2023.4.2.52-67.

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Real estate portfolio valuation plays a critical role in unlocking funding for affordable housing projects. Investors, financial institutions, and policymakers rely on accurate valuation techniques to assess risk, determine asset value, and allocate capital efficiently. This study examines various valuation methods and their application in securing funding for affordable housing initiatives. Key valuation techniques include the cost approach, sales comparison approach, and income capitalization method. The cost approach estimates property value by considering the cost of land acquisition, cons

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23

Akinsulire, Adetola Adewale, and Tochi Chimaobi Ohakawa. "Real Estate Portfolio Valuation Techniques to Unlock Funding for Affordable Housing." International Journal of Multidisciplinary Research and Growth Evaluation 4, no. 2 (2023): 671–86. https://doi.org/10.54660/.ijmrge.2023.4.2.671-686.

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Real estate portfolio valuation plays a critical role in unlocking funding for affordable housing projects. Investors, financial institutions, and policymakers rely on accurate valuation techniques to assess risk, determine asset value, and allocate capital efficiently. This study examines various valuation methods and their application in securing funding for affordable housing initiatives. Key valuation techniques include the cost approach, sales comparison approach, and income capitalization method. The cost approach estimates property value by considering the cost of land acquisition, cons

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24

Kalotay, Andrew. "Tax-Smart Portfolio Valuation and Performance Measurement." Journal of Portfolio Management 47, no. 8 (2021): 50–56. http://dx.doi.org/10.3905/jpm.2021.1.256.

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25

Boersma, Jonathan A., Scott D. Brown, and William B. Franklin. "Appropriate Pricing and Valuation of Portfolio Companies." CFA Institute Conference Proceedings 2005, no. 2 (2005): 33–38. http://dx.doi.org/10.2469/cp.v2005.n2.3470.

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26

Brockett, Patrick L., Mulong Wang, Chuanhou Yang, and Hong Zou. "Portfolio Effects and Valuation of Weather Derivatives." Financial Review 41, no. 1 (2006): 55–76. http://dx.doi.org/10.1111/j.1540-6288.2006.00133.x.

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27

EVANGELISTA, ANTHONY S., and MARYBETH SORADY. "VALUATION OF PORTFOLIO SECURITIES: PRACTICES AND PROCEDURES." Journal of Investment Compliance 2, no. 2 (2001): 30–40. http://dx.doi.org/10.1108/eb045907.

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28

Qu, Dong, and Dingqiu Zhu. "Grid Monte Carlo in Portfolio CVA Valuation." Wilmott 2014, no. 70 (2014): 64–70. http://dx.doi.org/10.1002/wilm.10310.

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29

Samanta, Subarna K., and Ali H. Mohamad-Zadeh. "Bank's Portfolio Management under Uncertainty." American Economist 36, no. 2 (1992): 30–38. http://dx.doi.org/10.1177/056943459203600204.

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The major objective of this paper is to derive a set of optimal decision rules (for asset or inventory management) for a commercial bank operating under uncertain circumstances (subject to stochastic deposit loss). The bank is assumed to be maximizing the expected utility derived from it's net income. This objective is realized by the marginal conditions of the model. It shows how and under what conditions, the banker should expand loans at the expense of securities and/or excess reserves and how he adjusts to de-regulations and how the change in uncertainty about the deposit loss affects him.

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30

Cai, Guowei, Xiaowei Chen, and Xun Wang. "A Structural Measurement of the Valuation Effect of China's External Assets: Method and Application." China & World Economy 32, no. 2 (2024): 97–124. http://dx.doi.org/10.1111/cwe.12527.

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AbstractExisting research on the measurement of the valuation effect mainly follows the residual method proposed by Lane and Milesi‐Ferretti (2001). This cannot be used to perform structural decomposition. We propose an aggregation approach rather than the residual method to measure structurally the investment flow and valuation effect of China's external assets. The results indicate that the valuation effect of China's external assets has been highly volatile and it was negative during the pandemic period. The structural decomposition shows that portfolio investment and direct investment made

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31

Wong, Tat Wing, Ka Wai Terence Fung, and Kwai Sun Leung. "Strategic bank closure and deposit insurance valuation." European Journal of Operational Research 285, no. 1 (2020): 96–105. http://dx.doi.org/10.1016/j.ejor.2018.09.032.

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32

DIXON, TIMOTHY. "COMPUTER SOFTWARE AVAILABILITY FOR VALUATION (Property Valuation, Development Appraisal and Portfolio Analysis)." Journal of Valuation 4, no. 1 (1986): 21–32. http://dx.doi.org/10.1108/eb007985.

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33

A. A., Isibor,, Okoh, J. I., Ogunwale, O., Odukoya, O., Omojola, O., and Nwankwo, A. M. "Portfolio Management and Performance of Listed Deposit Money Banks in Nigeria." African Journal of Accounting and Financial Research 8, no. 1 (2025): 51–66. https://doi.org/10.52589/ajafr-19jimht0.

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This study was carried out to examine the effect of portfolio management on the performance of listed deposit money banks (DMBs) in Nigeria. The study anchored on the Modern Portfolio and Shiftability Theory adopted an ex-post facto approach. Hence, data were collected from the annual reports and accounts of banks with international authorization for the period 2016–2020. The study used the linear regression model in the data analysis. The empirical result of the research indicates a significant and positive relationship between credit risk management, liquidity risk management and performance

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34

Залалтдинов, Марат, and Marat Zalaltdinov. "GENERAL PRESENTATION FOR THE ORGANIZATION OF THE FUTURE HARVEST ACCOUNTING, USED AS A SECURITY, IN ACCORDANCE WITH IFRS." Vestnik of Kazan State Agrarian University 12, no. 4 (2018): 99–105. http://dx.doi.org/10.12737/article_5a5f0862428073.82207256.

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Nowadays, there is no tool to address the issue of valuation and accounting for future crop used as deposit for lending agricultural production in accordance with the requirements of IFRS, which led to the relevance of the study. To solve this issue, it is proposed to develop a methodological aspect of valuation at fair value of the future crop. However, the valuation procedures within the framework of IFRS have been sufficiently developed and should be adequately met for each case separately according to the division, established in IFRS. However, there are a number of features in the valuati

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35

Moroz, Nataliia, and Daria Adamenko. "Deposit policy of Ukrainian banks." Galician economic journal 87, no. 2 (2024): 122–28. http://dx.doi.org/10.33108/galicianvisnyk_tntu2024.02.122.

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The article examines the peculiarities of attracting deposits by Ukrainian banks in modern conditions, taking into account the effects of external factors. The dynamics of the volumes of deposits of individuals and legal entities in 2016–2023, changes in deposit rates, the structure of deposits (the specific weight of contributions in foreign currency, the share of time deposits), the rating of Ukrainian banks by the size of their deposit portfolio were studied. The deposit policy of banks is characterized by the predominance of funds on demand in the structure of the deposit portfolio, with a

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36

Chataigner, Marc, and Stéphane Crépey. "Credit Valuation Adjustment Compression by Genetic Optimization." Risks 7, no. 4 (2019): 100. http://dx.doi.org/10.3390/risks7040100.

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Since the 2008–2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications. XVAs represent a switch of paradigm in derivative management, from hedging to balance sheet optimization. They reflect market inefficiencies that should be compressed as much as possible. In this work, we present a genetic algorithm applied to the compression of credit valuation adjustment (CVA), the expected cost of client defaults to a bank. The design of the algorithm is fine-tuned to the hybrid structur

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37

Aamir, Muhammad, Hafiz Muhammad Nadeem, Khawer Naheed, and Allah Bakhsh Khan. "How Companies Value Stock Prices After Going Public: Evidence from Emerging Pakistan economy." Journal of Accounting and Finance in Emerging Economies 4, no. 1 (2018): 29–38. http://dx.doi.org/10.26710/jafee.v4i1.338.

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The purpose of this study is to estimate the accuracy and authenticity of valuation methods used by underwriters to set preliminary offer price. This study uses complete universe of all newly listed companies during 2000 to 2015 on Pakistan Stock Exchange. We analyzed the determinants of the Initial Public Offering (IPOs) by comparing the ex-ante and ex-post characteristics of IPOs firms. Binary logistic model was used for evaluation of variables. Results revealed that underwriters use four different valuation methods to set IPO preliminary offer price namely as dividend discount model (DDM),

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38

Pomulev, A. A., and N. S. Pomuleva. "Methodological Aspects of Valuation of Credit Institutions under External Uncertainty." Finance: Theory and Practice 26, no. 6 (2022): 212–32. http://dx.doi.org/10.26794/2587-5671-2022-26-6-212-232.

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The article is devoted to the research of the issues of commercial bank business valuation under the conditions of uncertainty. The study aims to develop a model for forecasting the value of total assets and loan portfolio of a commercial bank within the framework of value estimation under external uncertainty. The relevance of the paper is that in the context of the COVID‑19 pandemic, military actions and sanctions pressure it is difficult to justify the market value of credit institutions due to the difficulties in implementing the methodology of assessment of banks whose business is associa

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39

Huang, Chien-Ming, and Ta-Cheng Chang. "The Valuation of Contract Deposit and Purchase Price." Mathematics 10, no. 23 (2022): 4535. http://dx.doi.org/10.3390/math10234535.

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This paper evaluates the deposit and purchase pricing of purchase contracts in a risk-neutral framework. First, we determine the fair deposit price of a single-installment purchase contract based on theoretical modeling and numerical analysis. Second, the buyer’s threshold pricing in dual-installment and multi-installment contracts is investigated under the framework of compound options. Lastly, the pricing behavior of deposits and purchases is further analyzed using a simultaneous equations modeling framework.

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40

Shermukhamedov, Bekhzodjon. "IMPROVING THE METHODOLOGY OF DEPOSIT PORTFOLIO ANALYSIS OF COMMERCIAL BANKS." Economics and education 24, no. 1 (2023): 130–34. http://dx.doi.org/10.55439/eced/vol24_iss1/a18.

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This article is devoted to the role and analysis of commercial banks in the economy of our republic, studied the data of their resource base, deposit operations carried out by commercial banks, analyzed the data of the deposit base. The importance of deposits in the activities of commercial banks is substantiated and the results of studies aimed at increasing the deposit base of banks operating in Uzbekistan are presented

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41

Boshoff, Douw. "Investigation into the supply of information and measurement of transparency in the listed property sector." Acta Structilia 20, no. 2 (2013): 30–49. https://doi.org/10.38140/as.v20i2.139.

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This article investigates the information that is available to shareholders and the public by listed property companies in order to make investment decisions. It also mentions the usefulness of this information for purposes of mass valuation of the portfolio of properties that are owned by these entities, or to extrapolate to other non-portfolio properties. The study makes use of a multiple regression analysis with empirical testing of property loan stock (PLS) companies in South Africa. It was found that only six of the PLS companies publish any useful information with regards to their proper

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42

Webb, James R., and Jack H. Rubens. "Portfolio Considerations in the Valuation of Real Estate." Real Estate Economics 14, no. 3 (1986): 465–95. http://dx.doi.org/10.1111/1540-6229.00398.

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43

Friend, Lawrence A., and Anthony S. Evangelista. "SEC PROVIDES GUIDANCE ON INVESTMENT COMPANY PORTFOLIO VALUATION." Journal of Investment Compliance 2, no. 1 (2001): 31–33. http://dx.doi.org/10.1108/eb045899.

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44

Camões, Francisco, and Sofia Vale. "Housing Valuation, Wealth Perception, and Homeowners’ Portfolio Composition." Journal of Family and Economic Issues 39, no. 3 (2018): 494–508. http://dx.doi.org/10.1007/s10834-018-9570-y.

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45

Wira, Natanel Uli, and Aswin Rahadi Raden. "Optimizing Investment Portfolio of a State-Owned Company Pension Fund." International Journal of Current Science Research and Review 06, no. 02 (2023): 1478–87. https://doi.org/10.5281/zenodo.7655946.

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<strong>ABSTRACT: </strong>The Pension Fund of PT Pos Indonesia (Dapenpos) is considering cutting off all its stock from the portfolio and trying to find the optimal portfolio to increase the funding ratio level. This research is using Modern Portfolio Theory (MPT) by Markowitz to solve the current issue faced by the company by optimizing company’s current portfolio, company’s stock universe, and optimizing modified portfolio of company. Portfolio optimization of the company is complying to the OJK regulation as well as company's investment direction with constant government bo

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Putra, Yudha Pradipta, and Farida Ratna Dewi. "Analisis Portofolio Sumber Dana PT Bank X Sebagai Instrumen Optimalisasi Budgeting dan Pengambilan Strategi." Jurnal Manajemen dan Organisasi 1, no. 1 (2016): 1. http://dx.doi.org/10.29244/jmo.v1i1.14139.

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The rising of credit expansion by PT Bank X has an implication to the high needs of fund. The fund source of PT Bank X derived from third party fund account and transfer fund among offices. Every funding source has advantages, disadvantages and cost which must be examined because it can affect the bank’s income. The purposes of this research are: (1) to identify the funding structure of PT Bank X, (2) to analyze the effect of every funding source to the PT Bank X, and (3) to analyze how the portfolio funding structure can be used to the budgeting process and strategy formulation. The funding s

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Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this probl

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Perera, Ryle S. "Provisions for bank deposit withdrawals and portfolio selection." International Journal of Financial Engineering 07, no. 01 (2020): 1950037. http://dx.doi.org/10.1142/s2424786319500373.

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The primary economic function of a bank is to redirect funds from savers to borrowers in an efficient manner, while increasing the value of the bank’s asset holdings in absolute terms. Within the regulatory framework of the Basel III accord, banks are required to maintain minimum liquidity to guard against withdrawals/liquidity risks. In this paper, we analyze a continuous-time mean-variance portfolio selection for a bank with stochastic withdrawal provisioning by relating the reserves as a proxy for the assets held by the bank. We then formulate an optimal investment portfolio selection for a

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Hariati, N., M. Yunus, and E. R. M. Putri. "Valuation risk adjusted deposit insurance on heston model." Journal of Physics: Conference Series 1397 (December 2019): 012078. http://dx.doi.org/10.1088/1742-6596/1397/1/012078.

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Lee, Shih-Cheng, Jin-Ping Lee, and Min-Teh Yu. "Bank Capital Forbearance and Valuation of Deposit Insurance." Canadian Journal of Administrative Sciences / Revue Canadienne des Sciences de l'Administration 22, no. 3 (2009): 220–29. http://dx.doi.org/10.1111/j.1936-4490.2005.tb00367.x.

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