WEALTH ALLOCATION FRAMEWORK: DALAM KERANGKA MASLAHAH

Tujuan studi ini adalah menerangkan bagaimana pengelolaan harta dalam perspektif Islamyang berbasis pada konsep maqasid syariah untuk mencapai maslahah. Pendekatanpenelitian menggunakan pendekatan kualitatif dengan metode penelitian adalah kajianlitelatur. Hasil penelitian menunjukkan bahwa pengelolaan harta dalam Islam terdapat tigaalokasi yaitu sepertiga digunakan untuk kehidupan saat ini, sepertiga digunakan untukperjuangan dijalan Allah, dan sepertiga lagi digunakan untuk investasi. Jika seorang muslimtidak mampu melakukan pengelolaan terhardap hartanya maka dapat dilakukan oleh pihakketiga. harta dalam Islam harus produktif dan terus mengalir (investasi) dan tidak bolehditimbun demi tercapainya kemaslahatan, namun, cara yang digunakan harus sesuai denganprinsip syariah dan terhindar dari riba.

Equilibrium and Efficiency

Pareto optima and competitive equilibria are defined. Allocations are functions of market wealth (sharing rules) in Pareto optima, which means that all risks except market wealth are perfectly shared. Equilibria in complete markets are shown to be equivalent to Arrow‐Debreu equilibria and to be Pareto optimal. If investors all have linear risk tolerance with the same cautiousness parameter, then equilibria are Pareto optimal, equilibrium prices are independent of the initial wealth allocation (Gorman aggregation), and two‐fund separation holds (all investors hold the risk‐free asset and the market portfolio).

Development Strategy of Wealthy Customers in Chinese Commercial Banks

Wealth management business is an old and young business. In terms of wealth management, it begins from the social class when wealth allocation becomes divided. Wealth management in modern sense originated in Napoleon Era in France. Napoleon gave his wealth to bankers of Switzerland to manage, which opened a precedent for wealth management. As far as Chinese commercial banks are concerned, wealth management business provides services to help wealthy customers realize the value of their assets. This paper reviews current situations of wealth management business in Chinese commercial banks and investigates customer development strategy.

Markov decision process algorithms for wealth allocation problems with defaultable bonds

In this paper we are concerned with analysing optimal wealth allocation techniques within a defaultable financial market similar to Bielecki and Jang (2007). We study a portfolio optimization problem combining a continuous-time jump market and a defaultable security; and present numerical solutions through the conversion into a Markov decision process and characterization of its value function as a unique fixed point to a contracting operator. In this paper we analyse allocation strategies under several families of utility functions, and highlight significant portfolio selection differences with previously reported results.

RESTRUCTURING COUNTERPARTY CREDIT RISK

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA). Depending on how the default contingency is accounted for, we list a total of ten different structuring styles. These include bi-partite structures between a bank and a counterparty, tri-partite structures with one margin lender in addition, quadri-partite structures with two margin lenders and, most importantly, configurations where all derivative transactions are cleared through a central counterparty clearing house (CCP). We compare the various structuring styles under a number of criteria including consistency from an accounting standpoint, counterparty risk hedgeability, numerical complexity, transaction portability upon default, induced behavior and macro-economic impact of the implied wealth allocation.