教授 博士生导师 硕士生导师
性别: 男
毕业院校: 大连理工大学
学位: 博士
所在单位: 金融与会计研究所
学科: 管理科学与工程. 投资学. 会计学
办公地点: 大连理工大学经济管理学院
联系方式: chigt@dlut.edu.cn
电子邮箱: chigt@dlut.edu.cn
点击次数:
发表时间:2019-03-11
论文类型:会议论文
发表时间:2007-05-30
收录刊物:EI
文献类型:A
页面范围:1307-1312
摘要:The usual focus of banking operation is on the risk management, one of whose key methods is the asset-liability management (ALM). Therefore, this paper puts forward the quantity-structured and the interest-structured symmetry principles on asset-liability management. With the tool of linear programming and the objective of the maximal interest return, an optimization model of asset-liability portfolio considering both interest and liquidity risk is set up. In this way, an effective distribution of assets insuring the banking liquidity and equity capital comes into being. © 2007 IEEE.