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

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 optim...

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Bibliographic Details
Published inShanghai jiao tong da xue xue bao Vol. 17; no. 1; pp. 114 - 120
Main Author 杨文泽 许晓鸣 蔡云泽
Format Journal Article
LanguageEnglish
Published Heidelberg Shanghai Jiaotong University Press 01.02.2012
Subjects
Architecture
Banks
Business
China
Computer Science
Dynamics
Electrical Engineering
Engineering
Life Sciences
Management
Materials Science
Mathematical models
Optimization
Sliding
commercial banks
model
asset
optimization
F 830.33
liability
Online AccessGet full text
ISSN1007-1172
1995-8188
DOI10.1007/s12204-012-1237-5

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Summary: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.
Bibliography:commercial banks, asset, liability, optimization, model
31-1943/U
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.
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ISSN:1007-1172
1995-8188
DOI:10.1007/s12204-012-1237-5