Decision-making Model of Bank's Assets P
β
Guo-tai CHI; He-chao DONG; Xiu-yan SUN
π
Article
π
2007
π
Elsevier
β 264 KB
Based on the dynamic programming method, by the use of the constraints on VaR, laws, regulations, and operation, a multiperiod dynamic portfolio optimal model for banks is successfully developed with the objective of maximizing the portfolio's yield. The characteristics and innovations of this paper