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

页码：114 / 120

页数：7

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