{"id":"https://openalex.org/W2048448883","doi":"https://doi.org/10.1155/2014/723873","title":"An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks","display_name":"An Optimal Portfolio and Capital Management Strategy for Basel III Compliant Commercial Banks","publication_year":2014,"publication_date":"2014-01-01","ids":{"openalex":"https://openalex.org/W2048448883","doi":"https://doi.org/10.1155/2014/723873","mag":"2048448883"},"language":"en","primary_location":{"id":"doi:10.1155/2014/723873","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2014/723873","pdf_url":"https://downloads.hindawi.com/journals/jam/2014/723873.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869","https://openalex.org/P4310320595"],"host_organization_lineage_names":["Hindawi Publishing Corporation","Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref","doaj"],"open_access":{"is_oa":true,"oa_status":"gold","oa_url":"https://downloads.hindawi.com/journals/jam/2014/723873.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5045394261","display_name":"Grant E. Muller","orcid":"https://orcid.org/0000-0003-4121-2635"},"institutions":[{"id":"https://openalex.org/I869660684","display_name":"University of the Western Cape","ror":"https://ror.org/00h2vm590","country_code":"ZA","type":"education","lineage":["https://openalex.org/I869660684"]}],"countries":["ZA"],"is_corresponding":false,"raw_author_name":"Grant E. Muller","raw_affiliation_strings":["University of the Western Cape, Private Bag X17, Bellville 7535, South Africa"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of the Western Cape, Private Bag X17, Bellville 7535, South Africa","institution_ids":["https://openalex.org/I869660684"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5060431456","display_name":"Peter J. Witbooi","orcid":"https://orcid.org/0000-0003-1304-0282"},"institutions":[{"id":"https://openalex.org/I869660684","display_name":"University of the Western Cape","ror":"https://ror.org/00h2vm590","country_code":"ZA","type":"education","lineage":["https://openalex.org/I869660684"]}],"countries":["ZA"],"is_corresponding":true,"raw_author_name":"Peter J. Witbooi","raw_affiliation_strings":["University of the Western Cape, Private Bag X17, Bellville 7535, South Africa"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"University of the Western Cape, Private Bag X17, Bellville 7535, South Africa","institution_ids":["https://openalex.org/I869660684"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5060431456"],"corresponding_institution_ids":["https://openalex.org/I869660684"],"apc_list":{"value":1130,"currency":"USD","value_usd":1130},"apc_paid":{"value":1130,"currency":"USD","value_usd":1130},"fwci":1.2538,"has_fulltext":true,"cited_by_count":9,"citation_normalized_percentile":{"value":0.83341839,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"2014","issue":null,"first_page":"1","last_page":"11"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.9997000098228455,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9984999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9983000159263611,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.6243769526481628},{"id":"https://openalex.org/keywords/capital-requirement","display_name":"Capital requirement","score":0.6233363151550293},{"id":"https://openalex.org/keywords/capital-adequacy-ratio","display_name":"Capital adequacy ratio","score":0.5103687644004822},{"id":"https://openalex.org/keywords/basel-ii","display_name":"Basel II","score":0.48427480459213257},{"id":"https://openalex.org/keywords/loan","display_name":"Loan","score":0.4799545109272003},{"id":"https://openalex.org/keywords/business","display_name":"Business","score":0.44319888949394226},{"id":"https://openalex.org/keywords/portfolio-optimization","display_name":"Portfolio optimization","score":0.4294644296169281},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.37796345353126526},{"id":"https://openalex.org/keywords/actuarial-science","display_name":"Actuarial science","score":0.3738026022911072},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3336488604545593},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.3213668167591095},{"id":"https://openalex.org/keywords/microeconomics","display_name":"Microeconomics","score":0.2516329884529114}],"concepts":[{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6243769526481628},{"id":"https://openalex.org/C2864544","wikidata":"https://www.wikidata.org/wiki/Q2914988","display_name":"Capital requirement","level":3,"score":0.6233363151550293},{"id":"https://openalex.org/C16969640","wikidata":"https://www.wikidata.org/wiki/Q1070805","display_name":"Capital adequacy ratio","level":3,"score":0.5103687644004822},{"id":"https://openalex.org/C2780759654","wikidata":"https://www.wikidata.org/wiki/Q809934","display_name":"Basel II","level":4,"score":0.48427480459213257},{"id":"https://openalex.org/C2777764128","wikidata":"https://www.wikidata.org/wiki/Q189539","display_name":"Loan","level":2,"score":0.4799545109272003},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.44319888949394226},{"id":"https://openalex.org/C202655437","wikidata":"https://www.wikidata.org/wiki/Q7231728","display_name":"Portfolio optimization","level":3,"score":0.4294644296169281},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.37796345353126526},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.3738026022911072},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3336488604545593},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.3213668167591095},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2516329884529114},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.0},{"id":"https://openalex.org/C29122968","wikidata":"https://www.wikidata.org/wiki/Q1414816","display_name":"Incentive","level":2,"score":0.0}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1155/2014/723873","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2014/723873","pdf_url":"https://downloads.hindawi.com/journals/jam/2014/723873.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869","https://openalex.org/P4310320595"],"host_organization_lineage_names":["Hindawi Publishing Corporation","Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:CULeuclid:euclid.jam/1425305534","is_oa":false,"landing_page_url":"https://projecteuclid.org/euclid.jam/1425305534","pdf_url":null,"source":{"id":"https://openalex.org/S4306400787","display_name":"Project Euclid (Cornell University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Text"},{"id":"pmh:oai:RePEc:hin:jnljam:723873","is_oa":false,"landing_page_url":"http://downloads.hindawi.com/journals/JAM/2014/723873.xml","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"},{"id":"pmh:oai:doaj.org/article:3864384b050a42a39f6e40e4c6cfe0fc","is_oa":true,"landing_page_url":"https://doaj.org/article/3864384b050a42a39f6e40e4c6cfe0fc","pdf_url":null,"source":{"id":"https://openalex.org/S4306401280","display_name":"DOAJ (DOAJ: Directory of Open Access Journals)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by-sa","license_id":"https://openalex.org/licenses/cc-by-sa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Journal of Applied Mathematics, Vol 2014 (2014)","raw_type":"article"},{"id":"pmh:oai:repository.uwc.ac.za:10566/3287","is_oa":true,"landing_page_url":"http://hdl.handle.net/10566/3287","pdf_url":null,"source":{"id":"https://openalex.org/S4306400180","display_name":"UWC Research Repository (University of the Western Cape)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I869660684","host_organization_name":"University of the Western Cape","host_organization_lineage":["https://openalex.org/I869660684"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"}],"best_oa_location":{"id":"doi:10.1155/2014/723873","is_oa":true,"landing_page_url":"https://doi.org/10.1155/2014/723873","pdf_url":"https://downloads.hindawi.com/journals/jam/2014/723873.pdf","source":{"id":"https://openalex.org/S190082376","display_name":"Journal of Applied Mathematics","issn_l":"1110-757X","issn":["1110-757X","1687-0042"],"is_oa":true,"is_in_doaj":true,"is_core":true,"host_organization":"https://openalex.org/P4310319869","host_organization_name":"Hindawi Publishing Corporation","host_organization_lineage":["https://openalex.org/P4310319869","https://openalex.org/P4310320595"],"host_organization_lineage_names":["Hindawi Publishing Corporation","Wiley"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Mathematics","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320671","display_name":"National Research Foundation","ror":"https://ror.org/05s0g1g46"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2048448883.pdf","grobid_xml":"https://content.openalex.org/works/W2048448883.grobid-xml"},"referenced_works_count":29,"referenced_works":["https://openalex.org/W382897410","https://openalex.org/W1579493056","https://openalex.org/W1587742039","https://openalex.org/W1979627408","https://openalex.org/W1980563255","https://openalex.org/W1984697146","https://openalex.org/W1994426469","https://openalex.org/W1994970311","https://openalex.org/W1995326264","https://openalex.org/W1998660962","https://openalex.org/W2005158847","https://openalex.org/W2005762289","https://openalex.org/W2009684063","https://openalex.org/W2037625795","https://openalex.org/W2051127842","https://openalex.org/W2067091303","https://openalex.org/W2076057077","https://openalex.org/W2080032616","https://openalex.org/W2084889689","https://openalex.org/W2086658597","https://openalex.org/W2093058517","https://openalex.org/W2098612888","https://openalex.org/W2106926746","https://openalex.org/W2107313422","https://openalex.org/W2163862709","https://openalex.org/W2170316986","https://openalex.org/W3021444882","https://openalex.org/W3033951712","https://openalex.org/W3124827270"],"related_works":["https://openalex.org/W3122199041","https://openalex.org/W2296624948","https://openalex.org/W3123410400","https://openalex.org/W2025267090","https://openalex.org/W3092147966","https://openalex.org/W3125916623","https://openalex.org/W4249856612","https://openalex.org/W2518525080","https://openalex.org/W2288324837","https://openalex.org/W4380488308"],"abstract_inverted_index":{"We":[0,37,121],"model":[1,80],"a":[2,11,16,19,23,53,79,97,113,123],"Basel":[3,89],"III":[4],"compliant":[5],"commercial":[6],"bank":[7,65],"that":[8,42],"operates":[9],"in":[10,31,68],"financial":[12],"market":[13,33],"consisting":[14],"of":[15,47,64,157],"treasury":[17],"security,":[18,21],"marketable":[20],"and":[22,25,135],"loan":[24],"we":[26,77,105],"regard":[27],"the":[28,32,39,48,61,73,82,88,107,117,126,143,147,151,158,164],"interest":[29],"rate":[30],"as":[34,96],"being":[35],"stochastic.":[36],"find":[38],"investment":[40,75,109,145],"strategy":[41,110],"maximizes":[43],"an":[44],"expected":[45],"utility":[46],"bank\u2019s":[49,127],"asset":[50,128,159],"portfolio":[51,129,160],"at":[52,116,130,167],"future":[54],"date.":[55],"This":[56],"entails":[57],"obtaining":[58],"formulas":[59],"for":[60,81,125],"optimal":[62,74,108,144],"amounts":[63],"capital":[66],"invested":[67],"different":[69,140],"assets.":[70],"Based":[71],"on":[72,91,139],"strategy,":[76,146],"derive":[78,122],"Capital":[83],"Adequacy":[84],"Ratio":[85],"(CAR),":[86],"which":[87],"Committee":[90],"Banking":[92],"Supervision":[93],"(BCBS)":[94],"introduced":[95],"measure":[98],"against":[99],"banks\u2019":[100],"susceptibility":[101],"to":[102,112],"failure.":[103],"Furthermore,":[104],"consider":[106],"subject":[111],"constant":[114,131],"CAR":[115,133,148,165],"minimum":[118,152,170],"prescribed":[119,153],"level.":[120,154],"formula":[124],"(minimum)":[132],"value":[134,156],"present":[136],"numerical":[137],"simulations":[138],"scenarios.":[141],"Under":[142],"is":[149,161,166],"above":[150],"The":[155],"improved":[162],"if":[163],"its":[168],"(constant)":[169],"value.":[171]},"counts_by_year":[{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":3},{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":2}],"updated_date":"2026-08-21T09:56:20.448147","created_date":"2025-10-10T00:00:00"}
