基于分层动态随机规划的资产负债管理模型

Asset and Liability Management Model using Hierarchical Dynamic Stochastic Programming

提出一种分层动态随机规划模型,解决资产负债最优配置问题。模型放宽了目标函数必须准确反映投资者收益-风险态度的限制,引入评价指标体系判定最优解。各层次模型考虑了未来市场上的不确定因素,采用动态随机规划基本形式,以情景树作为随机参数输入并得到决策结果。通过对商业银行资产负债配置建模的实例分析验证了该模型的可行性和有效性,使银行在满足流动性和安全性要求的同时,可以获得更高的收益率。

This paper proposes a model of hierarchical programming for optimal allocation of assets and liabilities.The model relaxes the restriction that objective function must be formulated exactly reflecting investors' return-risk attitude.Optimal solution is decided according to the system of assessment index.This research adopts the basic form of dynamic stochastic programming in each iteration considering the uncertainty in financial market.Scenario tree is input to get the consequence as the realization of random parameters.This approach is described in terms of an illustrative case study of commercial bank and shows its feasibility and effectiveness.The bank could achieve preferable profitability with satisfying the requirement of liquidity and security.