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A Programming Model For Bank Hedging Decisions

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  • G. Geoffrey Booth
  • Peter E. Koveos

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  • G. Geoffrey Booth & Peter E. Koveos, 1986. "A Programming Model For Bank Hedging Decisions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 9(3), pages 271-279, September.
    • Handle: RePEc:bla:jfnres:v:9:y:1986:i:3:p:271-279
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1986.tb00457.x
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    References listed on IDEAS

    as
    1. Koppenhaver, G D, 1985. "Bank Funding Risks, Risk Aversion, and the Choice of Futures Hedging Instrument," Journal of Finance, American Finance Association, vol. 40(1), pages 241-255, March.
    2. Jack W. Parker & Robert T. Daigler, 1981. "Hedging money market CDs with treasury‐bill futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 1(4), pages 597-606, December.
    3. G. D. Koppenhaver, 1984. "Selective Hedging Of Bank Assets With Treasury Bill Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 7(2), pages 105-119, June.
    4. Booth, G. Geoffrey & Dash, Gordon Jr., 1979. "Alternate programming structures for bank portfolios," Journal of Banking & Finance, Elsevier, vol. 3(1), pages 67-82, April.
    5. Carl Alan Batlin, 1983. "Interest rate risk, prepayment risk, and the futures market hedging strategies of financial intermediaries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 3(2), pages 177-184, June.
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    Cited by:

    1. Ostermark, Ralf & Skrifvars, Hans & Westerlund, Tapio, 2000. "A nonlinear mixed integer multiperiod firm model," International Journal of Production Economics, Elsevier, vol. 67(2), pages 183-199, September.

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