Bank asset and liability management under uncertainty

Author:

Ogˇuzsoy Cemal Berk,Gu¨ven Sibel

Publisher

Elsevier BV

Subject

Information Systems and Management,Management Science and Operations Research,Modeling and Simulation,General Computer Science,Industrial and Manufacturing Engineering

Reference38 articles.

1. Programming Bank Portfolios under Uncertainty: An Extension;Birge,1972

2. A Dynamic Model for Bond Portfolio Management;Bradley;Management Science,1972

3. Dynamic Balance Sheet Management Model for a Canadian Chartered Bank;Brodt;Journal of Banking and Finance,1978

4. Solving Discrete Stochastic Linear Programs with Simple Recourse by the Dualplex Algorithm;Bryson,1994

5. The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming;Carino;Interfaces,1994

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