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 ch...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.展开更多
基金the National Natural Science Foundation of China(No.61004088)the Key Foundation for Basic Research from Science and Technology Commission of Shanghai(No.09JC1408000)the Aeronautic Science Foundation of China(No.20100157001)
文摘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.
基金The Humanities and Social Science Research Youth Foundation of Ministry of Education(11YJC790006)the Higher School Science and Technology Development Foundation of Tianjin(20100821)