An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks

<div>A simulation of the optimized bank capital <span class="nowrap"><svg height="11.5564pt" id="M121" style="vertical-align:-2.26807pt" version="1.1" viewbox="-0.0498162 -9.28833 22.2956 11.5564" width="22.2956pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M645 631C614 643 545 666 457 666C215 666 23 519 23 283C23 90 158 -16 337 -16C412 -16 489 2 522 10C543 39 590 127 606 167L580 181C519 89 459 18 348 18C201 18 122 136 122 287C122 464 244 632 435 632C544 632 602 595 608 472L639 475C643 526 645 581 645 631Z" id="g113-68"></path></g><g transform="matrix(.013,0,0,-0.013,8.684,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,13.182,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z" id="g113-117"></path></g><g transform="matrix(.013,0,0,-0.013,17.616,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg>,</span> together with the asset portfolio <svg height="11.5564pt" id="M122" style="vertical-align:-2.26807pt" version="1.1" viewbox="-0.0498162 -9.28833 22.7523 11.5564" width="22.7523pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M686 28C612 35 607 44 591 112C563 234 541 360 519 489L489 666L457 658L147 121C100 40 89 36 24 28L17 0H240L250 28C168 34 159 41 190 101L262 237H482C495 180 503 137 510 91C517 47 514 35 441 28L433 0H677L686 28ZM475 280H285L429 541H431L475 280Z" id="g113-66"></path></g><g transform="matrix(.013,0,0,-0.013,9.135,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,13.633,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z" id="g113-117"></path></g><g transform="matrix(.013,0,0,-0.013,18.066,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg> and deposits <svg height="11.5564pt" id="M123" style="vertical-align:-2.26807pt" version="1.1" viewbox="-0.0498162 -9.28833 23.5743 11.5564" width="23.5743pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M743 375C743 570 607 650 407 650H136L130 622C214 612 220 606 204 526L125 122C110 43 105 36 24 27L17 0H250C382 0 482 23 571 76C680 141 743 248 743 375ZM644 379C644 188 520 36 305 36C277 36 249 38 229 46C205 55 202 71 212 126L293 553C300 588 306 600 317 606C330 613 356 617 390 617C547 617 644 537 644 379Z" id="g113-69"></path></g><g transform="matrix(.013,0,0,-0.013,9.958,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z" id="g113-41"></path></g><g transform="matrix(.013,0,0,-0.013,14.456,0)"><path d="M324 430H196L233 583L223 592L145 529L120 430H54L29 396L31 388H111L56 126C33 15 54 -12 77 -12C137 -12 214 57 250 95L233 119C208 92 155 59 138 59C126 59 120 70 131 125L186 390L298 394L324 430Z" id="g113-117"></path></g><g transform="matrix(.013,0,0,-0.013,18.89,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z" id="g113-42"></path></g></svg> of the bank.</div>

Journal of Applied Mathematics

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Figure 4

Figure 4: An Optimal Investment Strategy and Multiperiod Deposit Insurance Pricing Model for Commercial Banks 