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：Faculty of Management and Economics
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
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发布时间：2019-03-11
论文类型：会议论文
发表时间：2007-05-30
收录刊物：EI
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.
