On Mean-Variance Analysis of a Bank's Behavior
Year：2020 NO：20002 Author：Kazuhiro Takino, Yoshikazu Ishinagi
In this study, we consider the mean-variance utility maximization problem for banks. Especially, we consider the utility maximization problems of the bank's portfolio return and accounting profit. Moreover, we consider both balance sheet models irrespective of whether the items on the liability side of the balance sheets are internalized in terms of assets. The calibration result shows that the accuracy of the model fitting for the utility maximization model without internalizing the balance sheet is the most inferior to the models with the internalized balance sheet model. Moreover, we observe that there is no significant difference in the accuracies of the model fitting of the utility maximization models for the portfolio return and accounting profit as long as the balance sheet is internalized. To practically describe the bank's behavior, the internalization of the balance sheet model is more important than the portfolio return or accounting profit for which the bank maximizes the mean-variance utility.