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Investing in Real Estate: Mortgage Financing Practices and Optimal Holding Period

Winston T.H. Koh, Edward H. K. Ng
2005 Social Science Research Network  
In the presence of market imperfections, an optimal holding period exists for real property investments.  ...  We provide a simple rule to calculate the optimal holding period is to compare the required rate of return with the leveraged rate of return on equity.  ...  The main result on the optimal holding period is presented in Proposition 1.  ... 
doi:10.2139/ssrn.662102 fatcat:sne2jza7qndqrgxwa2nd67gofi

Optimal Interest Rates in Cooperative Banks with Non-member Customers

Ivana Catturani, Ragupathy Venkatachalam
2014 Journal of Entrepreneurial and Organizational Diversity (JEOD)  
The optimal rates also depend on the discount rates and share of loans (deposits) retired every period. Remark 2.  ...  The optimal rates also depend on the discount rates and share of loans (deposits) retired every period. Remark 2.  ...  Optimal Interest Rates in Cooperative Banks with Non-member Customers Catturani, I.; Venkatachalam, R. www.jeodonline.com  ... 
doi:10.5947/jeod.2014.009 fatcat:eknr74yzxzgarimfpwgby6vsjy

Conditional Lending Under Altruism

Alex Mourmouras, Peter Rangazas
2004 IMF Working Papers  
If the IFI is unable to commit to repayment terms in advance, conditional loans are superior to unconditional loans.  ...  We study IFI loans to a credit-constrained LIC.  ...  In the first period the IFI and the LIC choose optimal loan and investments levels, given the optimal repayment policy in the second period.  ... 
doi:10.5089/9781451852431.001 fatcat:5nnqkcx2zfhbdlsz7mu3fqomci

Strategic loan modification: An options-based response to strategic default

Sanjiv R. Das, Ray Meadows
2013 Journal of Banking & Finance  
The optimal trade-off of these two countervailing effects will pinpoint the optimal LTV at which the loan must be reset.  ...  We present a reduced-form barrier option decomposition of the loan value that makes the optimization of LTV easy to implement.  ...  erent periods, thereby allowing the modeler to determine the optimal loan modication under various future price assumptions in the housing markets.  ... 
doi:10.1016/j.jbankfin.2012.10.003 fatcat:35e67ciagjcx5eb4bzkwfhc6pu

Strategic Loan Modification: An Options- Based Response to Strategic Default

Sanjiv Ranjan Das, Ray Meadows
2011 Social Science Research Network  
The optimal trade-off of these two countervailing effects will pinpoint the optimal LTV at which the loan must be reset.  ...  We present a reduced-form barrier option decomposition of the loan value that makes the optimization of LTV easy to implement.  ...  erent periods, thereby allowing the modeler to determine the optimal loan modication under various future price assumptions in the housing markets.  ... 
doi:10.2139/ssrn.1814239 fatcat:h6thp5qebfcr7a7xxofyoyqb2q

OPTIMIZATION OF INVESTMENT STRATEGY FOR THE ACQUISITION OF MEANS OF MECHANIZATION

Jozef Repiský
2022 RURAL DEVELOPMENT 2019  
means without and with the limitation of credit resources and the time of loan repayment.  ...  The comparison of NPV values of individual variants of optimization models documents the logical consequences of the gradual optimization of plant and animal production, the time of acquisition of mechanization  ...  The implementation of the optimal loan repayment period is based on the results of the Optimization of mechanized security option with a limited loan amount, while the loan conditions are the same as in  ... 
doi:10.15544/rd.2021.071 fatcat:xdwhdf2tjzbxhbqjp7vevtjz6m

Developing a two-stage multi-period stochastic model for asset and liability management: A real case study in a commercial bank of Iran

Behzad Mousavi, Masoud Mahootchi, Mahdi Massahi
2022 Scientia Iranica. International Journal of Science and Technology  
Real data for a commercial bank in Tehran, the Islamic Republic of 2 Iran capital, are used to construct and check the optimization model.  ...  This paper develops a novel two-stage multi-period stochastic model to obtain a comprehensive plan. This plan aims to manage the assets and liabilities to satisfy all legal and budget constraints.  ...  The followings are the main decision variables in the proposed model, which should be optimally determined: 1) the amount of cash reserved in each period, 2) the amount of loans issued with different maturities  ... 
doi:10.24200/sci.2022.56870.4951 fatcat:getawt7brnaoxpmfttbrj5n6lu

Page 566 of The Journal of Business Vol. 74, Issue 4 [page]

2001 The Journal of Business  
Journal of Business = balance of loan m in period i, = interest rate on loan m in period i, and = financial slack in loan m in period i.  ...  Marginal revenue for period i is set equal to marginal cost for period i, and these equations are solved for the optimal output in each period.  ... 

A behavioral model of simultaneous borrowing and saving

Karna Basu
2016 Oxford Economic Papers  
The combination of savings and a loan generates incentives for future selves to invest optimally, by creating a new punishment for over-consumption.  ...  W 1 Rl Period 2 utility if period 0 takes a loan As l rises, period 1's marginal benefit of saving relative to marginal cost of saving increases with loan size.  ...  The optimal pure-saving or pure-borrowing strategy yields a utility that is lower than the true optimal by some amount D, which is given by: D = U best − max {U loan , U save } There is a lower bound on  ... 
doi:10.1093/oep/gpw021 fatcat:gibvuna7xfcuhn2qeacc2b3wcu

Two Optimization Problems of a Continuous-in-Time Financial Model

Emmanuel Frénod, Pierre Ménard, Mohamad Safa
2018 Journal of Mathematical Finance  
The second problem consists, from given loan, saving and withdrawal schemes, to finding optimal variants of them.  ...  Sundaresan surveys and assesses the development of continuous-in-time methods in finance during the period between 1970 and 2000.  ...  Optimal loan opt E κ and the optimal time opt θ obtained for given. repayment pattern γ, objectives c and current spending g σ .  ... 
doi:10.4236/jmf.2018.81003 fatcat:rcl2x3kh3bbblmi6c2ttxy4tv4

Interest Rates and Information

Ferdinando Colombo
2004 Manchester School  
We study the e¤ects of interest rates on information in a two-period setting and characterize the optimal interest rates structure in a customer relationship.  ...  In particular, we show that the bank will charge the same interest rate in the two periods, and that this rate never exceeds the rate the bank would charge in a one-period setting.  ...  In the second period, the optimal lending order calls for the bank to make a loan proposal to the new young individuals prior to the old unsuccessful borrower. Proof.  ... 
doi:10.1111/j.1467-9957.2004.00414.x fatcat:ng2lyv6zj5garavqzxvjrd3jbe

Municipal bond insurance, capital regulation and optimal bank interest margin: an option-based optimization

Shih-Heng Pao
2006 Journal of Statistics & Management Systems  
Under the negative(positive) elasticity effect, both the optimal loan and deposit rates are positively related to the cost of the municipal bond insurance (the capital regulation).  ...  We argue that municipal bond insurance and capital regulation can add/deduct the optimal bank interest margins (and thus bank profits).  ...  The initial loanable funds are invested in risky loans with an unspecified maturity greater than one period.  ... 
doi:10.1080/09720510.2006.10701214 fatcat:o6gngx4aijgotkugebbrfmh7au

A Dynamic Model of Functioning of a Bank [article]

Oleg Malafeyev, Achal Awasthi
2015 arXiv   pre-print
Dynamic programming makes sure that the solutions obtained are globally optimal and numerically stable.  ...  The optimization process is set up as a discrete multi-stage decision process and solved with the help of dynamic programming.  ...  An increase in demand for bank loans, increases the interest rates. 3. Loan percentage and borrowing period are inversely related.  ... 
arXiv:1511.01529v1 fatcat:td36rmhu7jdd3gtzauvctbigf4

Deposit Insurance, Bank Incentives, and the Design of Regulatory Policy

James M. O'Brien, Paul H. Kupiec
1998 Social Science Research Network  
b One-period systematic risk (standard deviation) for loan . c One-period nonsystematic (idiosyncratic) risk for loan . d systematic risk is 1, , and .05 is the risk-free rate.  ...  Table 1 1 ALTERNATIVE LOAN OPPORTUNITY SETS Total risk for loan i (one-period return standard deviation), . e NPV is calculated using the expression in endnote 10, where the market price of Loan Number  ...  The initial value of loan is , where is the market price of risk and the one-period risk-free rate. For positive NPV loans, . 11.  ... 
doi:10.2139/ssrn.102148 fatcat:zc5i5irdbvc7pbihbqtpunsif4

Repayment versus Investment Conditions and Exclusivity in Lending Contracts

Spiros Bougheas, Indraneel Dasgupta, Oliver Morrissey
2011 Journal of Institutional and Theoretical Economics  
The optimal conditionality contract depends on exclusivity -the likelihood that a borrower who has been denied funds from the original lenders can access funds from other lenders.  ...  Typically, banks condition future loans on repayments of earlier obligations whilst international organizations (official lenders) condition future loans on the implementation of some policy action ('investment  ...  a new loan in the second period.  ... 
doi:10.1628/093245611796589915 fatcat:mn73fprvnrdtpdmup46bo7hsem
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