DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK

DOI10.1142/S0219024916500527zbMath1396.91688OpenAlexW3124603331MaRDI QIDQ2836216

Grzegorz Hałaj

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500527

zbMATH Keywords

optimal portfoliobankingasset structure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

The performance of bank portfolio optimization ⋮ Panel data modeling of bank deposits

Cites Work

• Dynamic stochastic programming for asset-liability management
• A stochastic programming model for asset liability management of a Finnish pension company
• Financial Asset-Pricing Theory and Stochastic Programming Models for Asset/Liability Management: A Synthesis
• Mathematical Methods for Finance

This page was built for publication: DYNAMIC BALANCE SHEET MODEL WITH LIQUIDITY RISK