Accession Number : ADA119537

Title :   A Chance-Constrained Approach to Bank Dynamic Balance Sheet Management.

Descriptive Note : Research rept.,

Corporate Author : TEXAS UNIV AT AUSTIN CENTER FOR CYBERNETIC STUDIES

Personal Author(s) : Charnes,A ; Gallegos,J ; Yao,S

PDF Url : ADA119537

Report Date : May 1982

Pagination or Media Count : 37

Abstract : The dynamic balance sheet management model formulated deterministically by Chambers and Charnes was extended stochastically by Cohen and Thore to a two-stage LPU2 model. This paper develops a chance-constrained model which compares well with the Cohen and Thore example but in addition is easily extendable to formulations of realistic size, as the C-T model is not, and with the availability of dual evaluators. (Author)

Descriptors :   *Financial management, *Banking, *Accounting, *Stochastic processes, Management planning and control, Planning programming budgeting, Finance, Balance, Allocations, Investments, Decision making, Planning, Commerce, Trade off analysis, Economic analysis, Mathematical models, Linear programming, Risk

Subject Categories : Administration and Management
      Economics and Cost Analysis
      Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE