Abstract
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.
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Foundation item: the National Natural Science Foundation of China (No. 61004088), the Key Foundation for Basic Research from Science and Technology Commission of Shanghai (No. 09JC1408000), and the Aeronautic Science Foundation of China (No. 20100157001)
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Yang, Wz., Xu, Xm. & Cai, Yz. Segmented dynamic optimization model for asset-liability management of commercial banks and its applications. J. Shanghai Jiaotong Univ. (Sci.) 17, 114–120 (2012). https://doi.org/10.1007/s12204-012-1237-5
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DOI: https://doi.org/10.1007/s12204-012-1237-5