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1、碩士學(xué)位論文麓824373基于多期動態(tài)優(yōu)化的銀行資產(chǎn)組合決策模型研究APortfolioDecisionModelforbanksbasedonMulti-periodDynamicOptimization學(xué)大連理工大學(xué)DalianUniversityofTechnology基金項(xiàng)目：國家自然科學(xué)基金資助項(xiàng)目(70471055)：高等學(xué)校博士學(xué)科點(diǎn)專項(xiàng)科研基金資助項(xiàng)El(20040141026)董甥超：基于多期動態(tài)優(yōu)化的銀行資產(chǎn)組合決策模型研究APortfolioDecisionModelforbanksbasedonMulti-periodDynamicOptim
2、izationAbstractTheassetportfoliomanagementlevelhasgreateffectonthemarketcompetitionabilityandpayoffability．withthebankruptcyphenomenaincreasing．creditriskhasbeenthemajorriskthatbankingconfronts．especiallyforChina’Scommercialbanks．Therefore，tointmducetheloans’creditriskintothecomputatio
3、noftheearningyieldandstudythebank’sassetportfoliofromthemulti．periodassetportfoliohasbecomethefoCUSoftheacademeandbanking．Therefore，theresearchofoptimizedmodelofassetportfoliocouldprovidetheriskcontroland血edecisionfoundationoftheoptimizedallocationofassetsofcommercialbanks，whichhasthei
4、mportantrealisticmeaning．啊艙paperiSorganizedasfoIlows．SectionlreviewstheliteratureontheoryandmodelofAsset．Liability．Management．a(chǎn)ndourprincipleiSintroducedinSection2Ourmodeliss就uDinSection3．TheassetallocationresultsarereportedinSection4．Section5concludes．Theresearchappliesthelinearprogra
5、mmingandtakesthemaximumincomeofeachassetportfolioofbanks，anditalsotakestheVaRriskvalueandlawandrulesandmanagementastherestraintstOsetuptheportfoliodecisionmodelforbanksbasedonmulti-perioddynamicoptimization．Meanwhilethroughapplication，itteststhemodelissuitableandmaneuverablefortheChina
6、’Scommercialassetportfoliomanagement．ThefirstcharacteristicandinnovationofthispaperiStoconsiderthemutualeffectofeachperiodofloansandappliestheBackwardInductionMethodtosetuD也eoptimizedadmeasureofthecurrentloanswhichmakesthetotalloansallocationofthewholesectionreachthebest．Andthensuchpro
7、blemsastheneglectorlackconsiderationoftheinteractionofeachperiodcarlbesolved．ThesecondcharacteristicandinnovationofthispapIeristoconsiderthepreviousloancreditleveltransferringwillinfluencethecurrentexpectedvalueoftheloanyield．ThisPap}eristhatintroducesthecreditriskmigrationmentalityt
