Abstract:
Strategic Bank-models oriented towards optimizing the portfolio mix are increasingly important to Commercial Banks. Previous models have been concentrating only on parts of the investment opportunities and mainly in aggregates. This model focus on all assets and liability accounts and their income/expense effect, integrating related theories into a practical application using decision theory and a new concept of the present-value formula within a linear programming approach balancing profit and liquidity, following user-defined general policies.
Description:
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