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›› 2018, Vol. 30 ›› Issue (6): 13-27.

• 经济与金融管理 • 上一篇    下一篇

基于多组最优解的银行资产负债多目标优化模型构建

周颖, 柳煦   

  1. 大连理工大学管理与经济学部, 大连 116024
  • 收稿日期:2016-06-28 出版日期:2018-06-28 发布日期:2018-06-25
  • 通讯作者: 周颖(通讯作者),大连理工大学管理与经济学部副教授,硕士生导师,博士
  • 作者简介:柳煦,大连理工大学管理与经济学部硕士研究生。
  • 基金资助:

    国家自然科学基金项目（71471027；71731003；71171031）；国家社科基金一般项目（16BTJ017）；国家自然科学基金青年科学基金项目（71503199；71601041）；辽宁经济社会发展重点课题（2015lslktzdian-05）；辽宁省社科规划基金项目（L16BJY016）。

Multi-objective Optimization Model of the Bank Asset and Liability Management Based on Multiple Optimal Solutions

Zhou Ying, Liu Xu   

  1. Faculty of Management and Economics, Dalian University of Technology, Dalian 116024
  • Received:2016-06-28 Online:2018-06-28 Published:2018-06-25

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摘要：

建立基于资产已有的巨额存量组合和待配置的增量组合的全部资产组合的偿债能力、流动性风险、收益三重目标的资产优化配置模型，兼顾"存量+增量"的全部组合资产的流动性、安全性和收益性，优化配置资产。通过层次算法解出多组、而非一组最优解，保证银行可以在多组优先顺序的最优解中根据实际情况选择切合实际的一组最优解。多组最优解对银行管理的意义在于它可以满足不同银行管理层的价值偏好，追求那个主要目标的最优都可以兼顾其他目标满足和次优。这使银行可视宏观环境、经营战略等变化，选择最适宜的一组优先级次序，制定最优资产负债管理方案，有效、灵活地对银行未来资产优化配置。对宁波银行的实证也表明，不同优先级次序对应的6组最优解都兼顾了流动性、安全性和盈利性三重目标，且目标优先级越高，满足效果越好。

关键词: 资产负债管理, 存量组合, 增量组合, 全部组合配置, 多组最优解

Abstract:

We establish an optimized asset allocation model with goals of the solvency, liquidity risk and income of the huge existing stock of assets and incremental assets. This model takes into account the liquidity, safety and profitability of the existing and incremental assets. Through the hierarchical algorithm, it can get more groups rather than a set of optimal solutions. The bank can select a set of optimal solutions in multiple optimal solutions according to the actual need. The significance of the optimal solution to the bank management is that it can satisfy the bank manager's different value preference. The pursuit of the optimal main goal can take account of other goals. This enables banks to select the most appropriate priority order based on the changes of the macro environment or operation strategy, and then formulate the optimal asset liability management, in order to allocate the bank future asset effectively and flexibly. The empirical research of Ningbo Bank shows that 6 groups of optimal solutions with different priority order all can take account of the liquidity, security and profitability. What's more, the higher the priority, the better the effectiveness.

Key words: asset and liability management, the stock portfolio, the incremental portfolio, all combination configurations, multiple optimal solutions