基于多期动态优化的银行资产组合决策模型研究

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1、硕士学位论文麓824373基于多期动态优化的银行资产组合决策模型研究APortfolioDecisionModelforbanksbasedonMulti-periodDynamicOptimization学大连理工大学DalianUniversityofTechnology基金项目：国家自然科学基金资助项目(70471055)：高等学校博士学科点专项科研基金资助项El(20040141026)董甥超：基于多期动态优化的银行资产组合决策模型研究APortfolioDecisionModelforbanksbasedonMulti-periodDynamicOptim

2、izationAbstractTheassetportfoliomanagementlevelhasgreateffectonthemarketcompetitionabilityandpayoffability．withthebankruptcyphenomenaincreasing．creditriskhasbeenthemajorriskthatbankingconfronts．especiallyforChina’Scommercialbanks．Therefore，tointmducetheloans’creditriskintothecomputatio

3、noftheearningyieldandstudythebank’sassetportfoliofromthemulti．periodassetportfoliohasbecomethefoCUSoftheacademeandbanking．Therefore，theresearchofoptimizedmodelofassetportfoliocouldprovidetheriskcontroland血edecisionfoundationoftheoptimizedallocationofassetsofcommercialbanks，whichhasthei

4、mportantrealisticmeaning．啊舱paperiSorganizedasfoIlows．SectionlreviewstheliteratureontheoryandmodelofAsset．Liability．Management．andourprincipleiSintroducedinSection2Ourmodeliss就uDinSection3．TheassetallocationresultsarereportedinSection4．Section5concludes．Theresearchappliesthelinearprogra

5、mmingandtakesthemaximumincomeofeachassetportfolioofbanks，anditalsotakestheVaRriskvalueandlawandrulesandmanagementastherestraintstOsetuptheportfoliodecisionmodelforbanksbasedonmulti-perioddynamicoptimization．Meanwhilethroughapplication，itteststhemodelissuitableandmaneuverablefortheChina

6、’Scommercialassetportfoliomanagement．ThefirstcharacteristicandinnovationofthispaperiStoconsiderthemutualeffectofeachperiodofloansandappliestheBackwardInductionMethodtosetuD也eoptimizedadmeasureofthecurrentloanswhichmakesthetotalloansallocationofthewholesectionreachthebest．Andthensuchpro

7、blemsastheneglectorlackconsiderationoftheinteractionofeachperiodcarlbesolved．ThesecondcharacteristicandinnovationofthispapIeristoconsiderthepreviousloancreditleveltransferringwillinfluencethecurrentexpectedvalueoftheloanyield．ThisPap}eristhatintroducesthecreditriskmigrationmentalityt