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Modeling asset allocation and liability composition for Indian banks
16 references·0 citing·36 second hop
Modeling asset allocation and liability composition for Indian banks (2014)Modeling asset allocation and liability c…Practical Management Science (1999)Practical Management ScienceContinuous-Time Finance. (1991)Continuous-Time Finance.A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Short Term Financial Planning under Uncertainty (1982)Short Term Financial Planning…A dynamic balance sheet management model for a Canadian chartered bank (1978)A dynamic balance sheet manag…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …A Dynamic Model for Bond Portfolio Management (1972)A Dynamic Model for Bond Port…Three Asset Cash Balance and Dynamic Portfolio Problems (1971)Three Asset Cash Balance and …ON THE THEORY OF FINANCIAL INTERMEDIATION (1971)ON THE THEORY OF FINANCIAL IN…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Introduction to Operations Research (1968)Introduction to Operations Re…LINEAR PROGRAMMING AND OPTIMAL BANK ASSET MANAGEMENT DECISIONS (1967)LINEAR PROGRAMMING AND OPTIMA…PLANNING FOR LIQUIDITY IN FINANCIAL INSTITUTIONS: THE CHANCE‐CONSTRAINED METHOD (1966)PLANNING FOR LIQUIDITY IN FIN…Inter-Temporal Analysis and Optimization of Bank Portfolios (1961)Inter-Temporal Analysis and O…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)INPUTS, OUTPUTS, AND A THEORY OF PRODUCTION AND COST AT DEPOSITORY FINANCIAL INSTITUTIONS (1977)Regulation of Bank Capital and Portfolio Risk (1980)The Determinants of Bank Interest Margins: Theory and Empirical Evidence (1981)The cost of capital, corporation finance and the theory of investment (2008)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Portfolio Selection: Efficient Diversification of Investments. (1962)Stochastic Network Programming for Financial Planning Problems (1992)The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)Linear Programming Under Uncertainty (2004)Stochastic dual dynamic integer programming (2018)Design and Use of the Microsoft Excel Solver (1998)The harmonic consistency index for the analytic hierarchy process (2006)Emerging trends and new frontiers in community operational research (2017)Dynamic Asset Pricing Theory. (1993)Backward Stochastic Differential Equations in Finance (1997)An Introduction to Econophysics: Correlations and Complexity in Finance (2000)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Scenarios for Multistage Stochastic Programs (2000)Inventory Management with Asset-Based Financing (2004)The Distribution Free Newsboy Problem: Review and Extensions (1993)The total cost of logistics in supplier selection, under conditions of multiple sourcing, multiple criteria and capacity constraint (2001)A network flow model for lane-based evacuation routing (2003)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
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References

  • 1952PORTFOLIO SELECTION*18,429 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1968Introduction to Operations Research3,432 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1991Continuous-Time Finance.1,805 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1986A Bank Asset and Liability Management Model316 cited
  • 1971ON THE THEORY OF FINANCIAL INTERMEDIATION295 cited
  • 1972A Dynamic Model for Bond Portfolio Management182 cited
  • 1999Practical Management Science138 cited
  • 1982Short Term Financial Planning under Uncertainty114 cited
  • 1961Inter-Temporal Analysis and Optimization of Bank Portfolios105 cited
  • 1967LINEAR PROGRAMMING AND OPTIMAL BANK ASSET MANAGEMENT DECISIONS91 cited
  • 1971Three Asset Cash Balance and Dynamic Portfolio Problems70 cited
  • 1966PLANNING FOR LIQUIDITY IN FINANCIAL INSTITUTIONS: THE CHANCE‐CONSTRAINED METHOD56 cited
  • 1978A dynamic balance sheet management model for a Canadian chartered bank

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