DYNAMIC MODEL FOR BOND PORTFOLIO MANAGEMENT

被引：92

作者：

BRADLEY, SP ^{[1
]}

CRANE, DB ^{[1
]}

机构：

[1] HARVARD UNIV,GRAD SCH BUSINESS ADM,CAMBRIDGE,MA

来源：

MANAGEMENT SCIENCE SERIES B-APPLICATION | 1972年 / 19卷 / 02期

关键词：

D O I：

10.1287/mnsc.19.2.139

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

引用

页码：139 / 151

页数：13

共 14 条

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[2] PLANNING FOR LIQUIDITY IN FINANCIAL INSTITUTIONS - CHANCE-CONSTRAINED METHOD [J].

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THORE, S .

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[3]

CHARNES A, 1968, 188 NORTHW U TECHN I

[4] OPTIMUM BOND PORTFOLIO SELECTION [J].

CHENG, PL .

MANAGEMENT SCIENCE, 1962, 8 (04) :490-499

[5]

Cohen K.J., 1970, J BANK RES, V1, P42

[6] APPLICATIONS OF FINANCIAL THEORY - LINEAR PROGRAMMING AND OPTIMAL BANK ASSET MANAGEMENT DECISIONS [J].

COHEN, KJ ;

HAMMER, FS .

JOURNAL OF FINANCE, 1967, 22 (02) :147-165

[7] STOCHASTIC PROGRAMMING MODEL FOR COMMERCIAL BANK BOND PORTFOLIO MANAGEMENT [J].

CRANE, DB .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1971, 6 (03) :955-976

[8]

CRANE DB, 1971, 7118 HARV U WORK PAP

[9] OPTIMAL BANK LIQUIDITY - MULTI-PERIOD STOCHASTIC MODEL [J].

DAELLENBACH, HG ;

ARCHER, SH .

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1969, 4 (03) :329-343

[10]

Dantzig G.B., 1963, LINEAR PROGRAMMING

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