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1 2004

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Bank asset liability management programming techniques: an overview

Kosmidou K., Zopounidis C.

Foundations of Computing and Decision Sciences

2004

Vol. 29, No. 3

193-204

Nowadays, because of the uncertainty and risk which exists due to the integrating financial market and technological innovations, investors often wonder how to invest their assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. They speculate how to develop long term strategies to hedge the uncertainties and how to eventually combine investment decisions of asset and liability in order to maximize their wealth. This paper makes a brief overview of the bank asset liability management techniques that have been developed and used over the last 20 years. It includes models for individuals, as well as for various financial institutions which seek out greater efficiency in the management of their assets and liabilities.