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Integrated Asset And Liability Portfolio Management As Base For Development Sustainability Quantitative Description

In: Marketing And Management Sciences

Author

Listed:
  • ROMUALDAS GINEVICIUS

    (Department of Economics and Management of Enterprises, Vilnius Gediminas Technical University, Sauletekio ave. 11, Vilnius, LT-10223, Lithuania)

  • JELENA STANKEVICIENE

    (Department of Finance Engineering, Vilnius Gediminas Technical University, Sauletekio ave. 11, Vilnius, LT-10223, Lithuania)

Abstract

The aim of this paper is to present integrated assets and liabilities portfolio selection and management technique, which combines multiple criteria such as portfolio efficiency possibilities, risk of feasible value, guarantee of each possibility and the utility of a subject to determine the asset and liability structure of a commercial bank. Keeping in mind the stochastical nature of the cash flow it becomes obvious how complicated integrated asset-liability management techniques are needed. The model structure is particularly well suited to solve the ALM decision problem in evolving economies where shareholder value maximization is often stated across a multiple goal hierarchy. The result of solving the ALM problems provided significant evidence that the method is viable for development sustainability quantitative description under uncertainty economics.

Suggested Citation

  • Romualdas Ginevicius & Jelena Stankeviciene, 2010. "Integrated Asset And Liability Portfolio Management As Base For Development Sustainability Quantitative Description," World Scientific Book Chapters, in: Damianos P Sakas & Nikolaos Konstantopoulos (ed.), Marketing And Management Sciences, chapter 85, pages 484-487, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781848165106_0085
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    Keywords

    Management; Organizational Behavior; Marketing; Negotiation; Dynamic Models; International Business; Strategic Business; Human Resource;
    All these keywords.

    JEL classification:

    • O30 - Economic Development, Innovation, Technological Change, and Growth - - Innovation; Research and Development; Technological Change; Intellectual Property Rights - - - General

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