A MATHEMATICAL MODELING APPROACH TO BANK ASSET & LIABILITY FORECASTING AND OPTIMIZATION

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POURZARANDI M.E.; ALBORZI M.; HOSSEINZADE LOTFI F.; SHAHRIARI M.

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Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2013 | Volume:4 | Issue:15 Page(s): 51-77

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Information Journal Paper

Title

A MATHEMATICAL MODELING APPROACH TO BANK ASSET & LIABILITY FORECASTING AND OPTIMIZATION

Author(s)

POURZARANDI M.E. | ALBORZI M. | HOSSEINZADE LOTFI F. | SHAHRIARI M. | Issue Writer Certificate

Keywords

BANKSQ2

ASSET - LIABILITY MANAGEMENTQ2

OPTIMIZING MODELINGQ2

Abstract

Today's Bank managers are looking for some feasible investment projects to find a satisfactory level of profit subject to constrains and uncertainty during the time. Asset liability management provides an answer for this problem. This paper introduces a mathematical model for optimizing the structure of assets and liabilities in a commercial bank. After analyzing the results, the bank found some useful strategies about its cost of capital and investment portfolio.

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APA: Copy

POURZARANDI, M.E., ALBORZI, M., HOSSEINZADE LOTFI, F., & SHAHRIARI, M.. (2013). A MATHEMATICAL MODELING APPROACH TO BANK ASSET & LIABILITY FORECASTING AND OPTIMIZATION . FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 4(15), 51-77. SID. https://sid.ir/paper/197660/en

Vancouver: Copy

POURZARANDI M.E., ALBORZI M., HOSSEINZADE LOTFI F., SHAHRIARI M.. A MATHEMATICAL MODELING APPROACH TO BANK ASSET & LIABILITY FORECASTING AND OPTIMIZATION . FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2013;4(15):51-77. Available from: https://sid.ir/paper/197660/en

IEEE: Copy

M.E. POURZARANDI, M. ALBORZI, F. HOSSEINZADE LOTFI, and M. SHAHRIARI, “A MATHEMATICAL MODELING APPROACH TO BANK ASSET & LIABILITY FORECASTING AND OPTIMIZATION ,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 4, no. 15, pp. 51–77, 2013, [Online]. Available: https://sid.ir/paper/197660/en

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