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Bank asset and liability management under uncertainty

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  • Oguzsoy, Cemal Berk
  • Guven, Sibel

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  • 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.
    • Handle: RePEc:eee:ejores:v:102:y:1997:i:3:p:575-600
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    2. Randall S. Hiller & Jonathan Eckstein, 1993. "Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition," Management Science, INFORMS, vol. 39(11), pages 1422-1438, November.
    3. J. G. Kallberg & R. W. White & W. T. Ziemba, 1982. "Short Term Financial Planning under Uncertainty," Management Science, INFORMS, vol. 28(6), pages 670-682, June.
    4. Giokas, D. & Vassiloglou, M., 1991. "A goal programming model for bank assets and liabilities management," European Journal of Operational Research, Elsevier, vol. 50(1), pages 48-60, January.
    5. M. I. Kusy & W. T. Ziemba, 1986. "A Bank Asset and Liability Management Model," Operations Research, INFORMS, vol. 34(3), pages 356-376, June.
    6. Dwight B. Crane & Frederick Knoop & William Pettigrew, 1977. "An Application of Management Science to Bank Borrowing Strategies," Interfaces, INFORMS, vol. 8(1-part-2), pages 70-81, November.
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    8. Pyle, David H, 1971. "On the Theory of Financial Intermediation," Journal of Finance, American Finance Association, vol. 26(3), pages 737-747, June.
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    11. David R. Cariño & Terry Kent & David H. Myers & Celine Stacy & Mike Sylvanus & Andrew L. Turner & Kouji Watanabe & William T. Ziemba, 1994. "The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming," Interfaces, INFORMS, vol. 24(1), pages 29-49, February.
    12. Crane, Dwight B., 1971. "A Stochastic Programming Model for Commercial Bank Bond Portfolio Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 6(3), pages 955-976, June.
    13. John M. Mulvey & Hercules Vladimirou, 1992. "Stochastic Network Programming for Financial Planning Problems," Management Science, INFORMS, vol. 38(11), pages 1642-1664, November.
    14. Grubmann, N., 1987. ": A strategic balance sheet simulation model," European Journal of Operational Research, Elsevier, vol. 30(1), pages 30-34, June.
    15. Gary D. Eppen & Eugene F. Fama, 1971. "Three Asset Cash Balance and Dynamic Portfolio Problems," Management Science, INFORMS, vol. 17(5), pages 311-319, January.
    16. Brodt, Abraham I., 1978. "A dynamic balance sheet management model for a Canadian chartered bank," Journal of Banking & Finance, Elsevier, vol. 2(3), pages 221-241, October.
    17. Stephen P. Bradley & Dwight B. Crane, 1972. "A Dynamic Model for Bond Portfolio Management," Management Science, INFORMS, vol. 19(2), pages 139-151, October.
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    Cited by:

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    2. Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
    3. Christopher Bayliss & Marti Serra & Armando Nieto & Angel A. Juan, 2020. "Combining a Matheuristic with Simulation for Risk Management of Stochastic Assets and Liabilities," Risks, MDPI, vol. 8(4), pages 1-14, December.
    4. Pejman Peykani & Mostafa Sargolzaei & Mohammad Hashem Botshekan & Camelia Oprean-Stan & Amir Takaloo, 2023. "Optimization of Asset and Liability Management of Banks with Minimum Possible Changes," Mathematics, MDPI, vol. 11(12), pages 1-24, June.

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