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

doi:10.1007/s12204-012-1237-5

上海交通大学学报（英文版） ›› 2012, Vol. 17 ›› Issue (1): 114-120.doi: 10.1007/s12204-012-1237-5

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

YANG Wen-ze (杨文泽), XU Xiao-ming (许晓鸣), CAI Yun-ze (蔡云泽)

(Department of Automation, Shanghai Jiaotong University, Shanghai 200240, China)

收稿日期:2011-03-01 出版日期:2012-02-29 发布日期:2012-03-21
通讯作者: YANG Wen-ze (杨文泽) E-mail: ywze@hotmail.com

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

YANG Wen-ze (杨文泽), XU Xiao-ming (许晓鸣), CAI Yun-ze (蔡云泽)

(Department of Automation, Shanghai Jiaotong University, Shanghai 200240, China)

Received:2011-03-01 Online:2012-02-29 Published:2012-03-21
Contact: YANG Wen-ze (杨文泽) E-mail: ywze@hotmail.com

摘要/Abstract

摘要： Abstract: 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.

关键词: commercial banks, asset, liability, optimization, model

Abstract: Abstract: 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.

Key words: commercial banks, asset, liability, optimization, model

中图分类号:

F830.33

YANG Wen-ze (杨文泽), XU Xiao-ming (许晓鸣), CAI Yun-ze (蔡云泽). Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications[J]. 上海交通大学学报（英文版）, 2012, 17(1): 114-120.

YANG Wen-ze (杨文泽), XU Xiao-ming (许晓鸣), CAI Yun-ze (蔡云泽). Segmented Dynamic Optimization Model for Asset-Liability Management of Commercial Banks and Its Applications[J]. Journal of shanghai Jiaotong University (Science), 2012, 17(1): 114-120.

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

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

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