STOCHASTIC PROGRAMMING MODEL FOR COMMERCIAL BANK BOND PORTFOLIO MANAGEMENT

被引：15

作者：

CRANE, DB ^{[1
]}

机构：

[1] HARVARD UNIV,CAMBRIDGE,MA

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1971年 / 6卷 / 03期

关键词：

D O I：

10.2307/2329914

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：955 / 976

页数：22

共 22 条

[1] INTER-TEMPORAL ANALYSIS AND OPTIMIZATION OF BANK PORTFOLIOS [J].

CHAMBERS, D ;

CHARNES, A .

MANAGEMENT SCIENCE, 1961, 7 (04) :393-410

[2] PLANNING FOR LIQUIDITY IN FINANCIAL INSTITUTIONS - CHANCE-CONSTRAINED METHOD [J].

CHARNES, A ;

THORE, S .

JOURNAL OF FINANCE, 1966, 21 (04) :649-674

[3]

CHARNES A, 1968, 188 NW U TECHN I SYS

[4] OPTIMUM BOND PORTFOLIO SELECTION [J].

CHENG, PL .

MANAGEMENT SCIENCE, 1962, 8 (04) :490-499

[5] DISCRETE STOCHASTIC PROGRAMMING [J].

COCKS, KD .

MANAGEMENT SCIENCE, 1968, 15 (01) :72-79

[6]

Cohen K.J., 1970, J BANK RES, V1, P42

[7] APPLICATIONS OF FINANCIAL THEORY - LINEAR PROGRAMMING AND OPTIMAL BANK ASSET MANAGEMENT DECISIONS [J].

COHEN, KJ ;

HAMMER, FS .

JOURNAL OF FINANCE, 1967, 22 (02) :147-165

[8]

Crosse H. D, 1962, MANAGEMENT POLICIES

[9] LINEAR PROGRAMMING UNDER UNCERTAINTY [J].

Dantzig, George B. .

MANAGEMENT SCIENCE, 1955, 1 (3-4) :197-206

[10]

DELONG FG, 1966, ANALYTICAL METHODS B, P39

← 1 2 3 →