Bank asset and liability management under uncertainty
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Publication:1290714
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)
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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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