资产负债管理多阶段模型研究

Study on Multi-stage Models for Asset and Liability Management

综述了资产负债管理多阶段模型及应用的研究状况,评述了相关的研究文献。分别从资产负债管理多阶段模型、银行资产负债管理、养老金与保险公司、金融计划、动态的资产配置以及情景生成几个方面进行了探讨。最后结合我国有关的研究与应用现状,提出一些待研究的方向。

Multi-period models for Asset Liability Management and their applications are summarized and related research papers are commented on. Specifically, the problem is addressed from the following aspects, that is, Multi-period stochastic programming models for asset liability management, Bank＇s asset liability management, pension fund and insurance company, financial planning, dynamic asset allocation and scenario generation. At last, some directions remained to be studied are presented based on domestic research and application situation.