Management Review

›› 2018, Vol. 30 ›› Issue (6): 13-27.

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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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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