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Bank asset and liability management under uncertainty
16 references·1 citing·30 second hop
Bank asset and liability management under uncertainty (1997)Bank asset and liability management under…The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming (1994)The Russell-Yasuda Kasai Mode…Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition (1993)Stochastic Dedication: Design…Stochastic Network Programming for Financial Planning Problems (1992)Stochastic Network Programmin…Stochastic network optimization models for investment planning (1989)Stochastic network optimizati…A Bank Asset and Liability Management Model (1986)A Bank Asset and Liability Ma…Solving stochastic programs with simple recourse (1983)Solving stochastic programs w…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…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…LINEAR PROGRAMMING AND OPTIMAL BANK ASSET MANAGEMENT DECISIONS (1967)LINEAR PROGRAMMING AND OPTIMA…Programming under uncertainty: The complete problem (1966)Programming under uncertainty…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: Efficient Diversification of Investments (1959)Portfolio Selection: Efficien…Asset and Liability Management Handbook (2011)Asset and Liability Managemen…Chance-Constrained Programming (1959)A Model of the Demand for Money by Firms (1966)Decomposition and Partitioning Methods for Multistage Stochastic Linear Programs (1985)Optimization under uncertainty: state-of-the-art and opportunities (2003)Inventory Management with Asset-Based Financing (2004)Linear Programming Under Uncertainty (2004)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)Modern Portfolio Theory and Investment Analysis. (1982)Scenarios and Policy Aggregation in Optimization Under Uncertainty (1991)Strategic asset allocation (1997)Heuristics for cardinality constrained portfolio optimisation (2000)Decisions with Multiple Objectives: Preferences and Value Tradeoffs. (1994)Scenarios for Multistage Stochastic Programs (2000)Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis (2001)Theory of games and economic behavior (2019)Robust Optimization of Large-Scale Systems (1995)Stochastic Linear Programming (2010)Portfolio Selection: Efficient Diversification of Investments. (1960)Generating Scenario Trees for Multistage Decision Problems (2001)Portfolio Selection: Efficient Diversification of Investments. (1962)Stochastic dual dynamic integer programming (2018)Asset and liability management in financial crisis (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)
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References

  • 1959Portfolio Selection: Efficient Diversification of Investments5,598 cited
  • 1994The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming362 cited
  • 1986A Bank Asset and Liability Management Model316 cited
  • 1971ON THE THEORY OF FINANCIAL INTERMEDIATION295 cited
  • 1992Stochastic Network Programming for Financial Planning Problems267 cited
  • 1972A Dynamic Model for Bond Portfolio Management182 cited
  • 1989Stochastic network optimization models for investment planning130 cited
  • 1983Solving stochastic programs with simple recourse115 cited
  • 1982Short Term Financial Planning under Uncertainty114 cited
  • 1961Inter-Temporal Analysis and Optimization of Bank Portfolios105 cited
  • 1966Programming under uncertainty: The complete problem93 cited
  • 1967LINEAR PROGRAMMING AND OPTIMAL BANK ASSET MANAGEMENT DECISIONS91 cited
  • 1993Stochastic Dedication: Designing Fixed Income Portfolios Using Massively Parallel Benders Decomposition91 cited
  • 1971Three Asset Cash Balance and Dynamic Portfolio Problems70 cited
  • 1966PLANNING FOR LIQUIDITY IN FINANCIAL INSTITUTIONS: THE CHANCE‐CONSTRAINED METHOD

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56 cited
  • 1978A dynamic balance sheet management model for a Canadian chartered bank44 cited
  • Cited by

    • 2011Asset and Liability Management Handbook24 cited