文档介绍：GOAL PROGRAMMING TECHNIQUES FOR BANK ASSET
LIABILITY MANAGEMENT
Applied Optimization
Volume 90
Series Editors:
Panos M. Pardalos
University of Florida, .
Donald W. Hearn
University of Florida, .
GOAL PROGRAMMING TECHNIQUES FOR BANK ASSET
LIABILITY MANAGEMENT
Kyriaki Kosmidou, Constantin Zopounidis
Technical University of Crete
Department of Production Engineering and Management
Financial Engineering Laboratory
University Campus, Chania, Greece
KLUWER ACADEMIC PUBLISHERS
NEW YORK, BOSTON, DORDRECHT, LONDON, MOSCOW
eBook ISBN: 1-4020-8105-7
Print ISBN: 1-4020-8104-9
©2004 Springer Science + Business Media, Inc.
Print ©2004 Kluwer Academic Publishers
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To my sisters Marilena and Nadia Kosmidou
To Kalia Koukouraki, Dimitrios Zopounidis, Heleni Zopounidis
Benefactors love their beneficiaries more
than the beneficiaries love their benefactors
Aristotle (Ith., Eud., 1241a)
Table of contents
PREFACE xi
CHAPTER 1 : INTRODUCTION
1. Asset liability management 1
ALM model structure 3
Objective functions 4
The Von Neumann-Morgenstern theory 5
Classical utility functions 5
The Von Neumann-Morgenstern theory and utility
functions 6
Asset management models 7
Stochastic programming 7
Decision rules 9
Capital growth 11
Stochastic control 12
Advantages and disadvantages of the four approaches 12
Applications of the asset liability management model 13
2. General characteristics of the banking institutions 14
The economic role of banking institutions 15
Management mercial banks 16
Basic policies merci