Bank asset and liability management under uncertainty

DOI10.1016/S0377-2217(96)00241-XzbMath0955.90044MaRDI QIDQ1290714

Cemal Berk Oğuzsoy, Sibel Güven

Publication date: 22 February 2001

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

financebankingasset and liability managementlinear programming under uncertainty

Mathematics Subject Classification ID

Related Items (3)

A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations ⋮ Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework ⋮ Bank asset and liability management under uncertainty

Cites Work

• Stochastic network optimization models for investment planning
• Bank asset and liability management under uncertainty
• Solving discrete stochastic linear programs with simple recourse by the dualplex algorithm
• Solving stochastic programs with simple recourse
• Short Term Financial Planning under Uncertainty
• Stochastic Network Programming for Financial Planning Problems
• Two-Period Stochastic Programs with Simple Recourse
• Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition
• Programming under uncertainty: The complete problem
• Three Asset Cash Balance and Dynamic Portfolio Problems

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