International records / OpenAlex research

Asset Optimization Problem In A Financial Institution

This paper looked at how a financial institution could optimally allocate its total wealth among three assets namely; treasury, security and loan in a stochastic interest rate setting. The optimal investment strategy was derived through the application of a stochastic optimization theory for the case of constant relative risk aversion (CRRA) utility function. Next,numerical examples using published data obtained from CBN statistical bulletin and Nigeria Stock Exchange Fact Book was presented to illustrate the dynamics of the optimal investment strategy. From the results it was seen that the op…