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

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)

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1982
Accession Number
ADA119537

Entities

People

  • Abraham Charnes
  • J. Gallegos
  • Shuhua Yao

Organizations

  • University of Texas at Austin

Tags

Communities of Interest

  • Cyber
  • Human Systems

DTIC Thesaurus Topics

  • Business Administration
  • Computer Programming
  • Discrete Distribution
  • Distribution Functions
  • Economics
  • Financial Management
  • Fluids
  • Investments
  • Linear Programming
  • Management Personnel
  • Money
  • Probability
  • Probability Distributions
  • Random Variables
  • Security
  • Uncertainty

Readers

  • Aerospace Test and Evaluation
  • Operations Research