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稳健资产负债管理最优化模型及实证分析
引用本文:武丹. 稳健资产负债管理最优化模型及实证分析[J]. 应用数学与计算数学学报, 2010, 24(2): 93-100
作者姓名:武丹
作者单位:复旦大学管理学院,上海200433
摘    要:本文提出一种新的稳健资产负债模型最优化模型.该模型考虑了利率的不确定性对未来现金流、资金成本和资产收益率的影响.我们通过构建情景树反映未来的利率变化的情景结构.由于最优决策对利率的预测十分敏感,我们提出系数预测值可在一定误差范围内的稳健资产负债最优化模型.实证分析结果表明,从收益与风险均衡的角度看,稳健优化模型产生的保守解优于系数确定的优化模型产生的最优解.

关 键 词:金融优化  资产负债  随机规划  稳健模型  实证分析

Robust Asset and Liability Management Model with Empirical Analysis
Wu Dan. Robust Asset and Liability Management Model with Empirical Analysis[J]. Communication on Applied Mathematics and Computation, 2010, 24(2): 93-100
Authors:Wu Dan
Affiliation:Wu Dan School of Management,Pudan University,Shanghai 200433,China
Abstract:In this paper we present a new robust asset and liability model,which considers the uncertain interest rate's influence on future cash flows,capital cost and return of assets.We use scenario tree to illustrate the trend of future interest rate.Since the optimal decision is very sensitive to the forecasting of the interest rate,we propose a robust model where the range of parameters are characterized by ellipsoid area.Our empirical analysis shows that the proposed robust model outperforms the classical model in the aspect of balancing risk and yield.
Keywords:financial optimization  asset and liability management  stochastic programming  robust optimization  empirical analysis
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