Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications

被引：0
|
作者：
杨文泽 [1 ]
许晓鸣 [1 ]
蔡云泽 [1 ]
机构：
[1] Department of Automation,Shanghai Jiaotong University
来源：
Journal of Shanghai Jiaotong University(Science) | 2012年 / 17卷 / 01期
基金：
中国国家自然科学基金;
关键词：
commercial banks; asset; liability; optimization; model;
D O I：
暂无
中图分类号：
F830.42 [银行会计];
学科分类号：
摘要：
Asset-liability management is the core business of commercial banks.Effective method of asset-liability management is a continuously exploring topic in the academic and practical fields.According to the operational characteristics of commercial banks,this paper addresses a segmented dynamic optimization model under the perspective of the regulatory environment for China commercial banks.The model can perform segmented sliding optimization and correct control variables to make optimal decision with the changes in situations for a certain future time.
引用
收藏
页码：114 / 120
页数：7
相关论文
共 50 条
  • [1] Segmented dynamic optimization model for asset-liability management of commercial banks and its applications
    Yang W.-Z.
    Xu X.-M.
    Cai Y.-Z.
    Journal of Shanghai Jiaotong University (Science), 2012, 17 (1) : 114 - 120
  • [2] INTEREST-RATE DERIVATIVES AND ASSET-LIABILITY MANAGEMENT BY COMMERCIAL-BANKS
    SIMONS, K
    NEW ENGLAND ECONOMIC REVIEW, 1995, : 17 - 28
  • [3] Dynamic asset-liability management with frictions
    Yan, Tingjin
    Han, Jinhui
    Ma, Guiyuan
    Siu, Chi Chung
    INSURANCE MATHEMATICS & ECONOMICS, 2023, 111 : 57 - 83
  • [4] Funds Gap Management An Asset-Liability Management Technique in Banks
    Elahi, Malek
    Dehdashti, Masoud
    Banzon, Reynaldo R.
    AbdolKhalegh
    ECONOMICS AND FINANCE RESEARCH, 2011, 4 : 525 - +
  • [5] Dynamic stochastic programming for asset-liability management
    Consigli, G
    Dempster, MAH
    ANNALS OF OPERATIONS RESEARCH, 1998, 81 : 131 - 161
  • [6] Asset-liability optimization for pension fund management
    Pflug, GC
    Swietanowski, A
    OPERATIONS RESEARCH PROCEEDINGS 1999, 2000, : 124 - 135
  • [7] Dynamic stochastic programmingfor asset-liability management
    G. Consigli
    M. A. H. Dempster
    Annals of Operations Research, 1998, 81 (0) : 131 - 162
  • [8] A BI-LEVEL OPTIMIZATION MODEL FOR THE ASSET-LIABILITY MANAGEMENT OF INSURANCE COMPANIES
    Chen, Xiaowei
    Liu, Qianlong
    Ralescu, Dan A.
    JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2023, 19 (04) : 3003 - 3019
  • [9] Dynamic asset-liability management problem in a continuous-time model with delay
    Chunxiang, A.
    Shen, Yang
    Zeng, Yan
    INTERNATIONAL JOURNAL OF CONTROL, 2022, 95 (05) : 1315 - 1336
  • [10] Optimal asset-liability management with constraints: A dynamic programming approach
    Papi, M
    Sbaraglia, S
    APPLIED MATHEMATICS AND COMPUTATION, 2006, 173 (01) : 306 - 349
12345