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Linear Programming And Optimal Bank Asset Management Decisions

Author

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  • Kalman J. Cohen
  • Frederick S. Hammer

Abstract

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  • Kalman J. Cohen & Frederick S. Hammer, 1967. "Linear Programming And Optimal Bank Asset Management Decisions," Journal of Finance, American Finance Association, vol. 22(2), pages 147-165, May.
    • Handle: RePEc:bla:jfinan:v:22:y:1967:i:2:p:147-165
    DOI: j.1540-6261.1967.tb00002.x
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    Citations

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    Cited by:

    1. Louis Lévy-Garboua & Vivien Lévy-Garboua, 1972. "Le comportement bancaire, le diviseur de crédit et l'efficacité du contrôle monétaire," Revue Économique, Programme National Persée, vol. 23(2), pages 243-282.
    2. David R. Cariño & William T. Ziemba, 1998. "Formulation of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 433-449, August.
    3. Rui Pedro Brito & Pedro Alarcão Judice, 2020. "Asset classification under the IFRS 9 framework for the construction of a banking investment portfolio," CeBER Working Papers 2020-06, Centre for Business and Economics Research (CeBER), University of Coimbra.
    4. Güven, S. & Persentili, E., 1997. "A linear programming model for bank balance sheet management," Omega, Elsevier, vol. 25(4), pages 449-459, August.
    5. Lucian Gaban & Ionut - Marius Rus & Alin Fetita & Liviu Bechis, 2017. "Assets And Liabilities Management During The Crisis - A Study On Banks In Romania," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 529-537, July.
    6. Tauer, Loren W. & Boehlje, Michael, 1981. "A Debt Selection Model For Banks Of The Cooperative Farm Credit System," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 6(2), pages 1-14, December.
    7. Ajibola Arewa & John Ayodele Owoputi & Lezaasi Lenee Torbira, 2013. "Financial Statement Management, Liability Reduction and Asset Accumulation: An Application of Goal Programming Model to a Nigerian Bank," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(4), pages 83-90, October.
    8. Oguzsoy, Cemal Berk & Guven, Sibel, 1997. "Bank asset and liability management under uncertainty," European Journal of Operational Research, Elsevier, vol. 102(3), pages 575-600, November.
    9. Robert Ferstl & Alexander Weissensteiner, 2011. "Backtesting Short-Term Treasury Management Strategies Based on Multi-Stage Stochastic Programming," Palgrave Macmillan Books, in: Gautam Mitra & Katharina Schwaiger (ed.), Asset and Liability Management Handbook, chapter 19, pages 469-494, Palgrave Macmillan.

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