标题： 有限责任能否增加银行的稳定性：一种动态投资组合方法 显示英文标题

标题： Can Limited Liability Increase Stability for Banks: A Dynamic Portfolio Approach

摘要： 我们提出了一种新的方法来解决银行的决策问题，将有限法律责任纳入目标函数中。 因此，我们考虑了连续时间模型，包括有有限法律责任和没有有限法律责任的模型。 我们比较这两种模型的解，以展示引入有限法律责任的影响。 为了解包含有限法律责任的目标函数问题，我们对收益函数进行近似，转换为另一组具有显式解的函数。 然后，我们表明，包含有限法律责任的解会包含更少风险资产，同时提高银行的韧性。 之后，我们使用KMV模型中的度量指标$Distance~to~Default$，通过考虑利率遵循Vasicek模型来分析银行的韧性。 最后，我们通过一个数值示例说明了所得结果。 显示英文摘要

摘要： We present a novel approach for the bank's decision problem, incorporating Limited Liability in the objective function. Accordingly, we consider continuous time models, with and without Limited Liability. We compare the solutions of these two models to demonstrate the effect of inclusion of Limited Liability. To solve the problem with the objective function incorporating Limited Liability, we approximate the payoff function to another set of functions for which we have closed-form solutions. Then, we show that the solution with Limited Liability incorporates less risky assets, while simultaneously increasing the resilience of the bank. After that, we use the metric of $Distance~to~Default$, from the KMV Model, to analyze the bank's resiliency, by considering that the interest rate follows the Vasicek model. Finally, we illustrate the results obtained with a numerical example.