Recent Developments in Management Science in Banking

Cohen, Kalman J.; Maier, Steven F.; Weide, James H. Vander

doi:10.1287/mnsc.27.10.1097

Cited by 31 publications

(4 citation statements)

References 46 publications

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“…Ong (1998) and Bitner and Goddard (1992) discuss ALM practice in the banking industry. Cohen and Gibson (1978) focus on banking with Part V devoted to bond portfolio management and interest-rate risk. Adamidou et al (1993) and Ben-Dov et al (1992) describe an optimal portfolio system at Prudential-Bache.…”

Section: Introductionmentioning

confidence: 99%

LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications

Sodhi

2005

Operations Research

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Dynamic linear programming (LP) models for asset-liability management (ALM) are quite powerful and flexible but face two challenges: (1) many modeling choices, not all consistent with one another or with finance theory, and (2) solution difficulties due to the large number of scenarios obtained from standard interest-rate models. We first survey these modeling choices with a view to help researchers make self-consistent choices. Next, we review how the dynamic LP model for ALM and the representation of uncertainty therein have been simplified in the past to motivate new or hybrid models emphasizing tractability. To this end, we review existing static LP models as extreme modeling simplifications and aggregation as a simplification of uncertainty.

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Section: Introductionmentioning

confidence: 99%

LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications

Sodhi

2005

Operations Research

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“…Dual variables are easy to calculate and have an interesting financial interpretation. (Cohen, Maier, Vander Weide 1981). …”

Section: Calculation Of the Optimal Solutionmentioning

confidence: 99%

Operational Tools in the Management of Financial Risks

Zopounidis¹

1998

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“…There have been numerous publications on financial modelling in the past (for good overviews see Cohen, 1980;Santomero, 1984 andSchmidt, 1983) and some even dealt with bank AIL-management but almost all of them just concentrated on partial banking problems. Little academic work has been done so far for a global reconciliation and even the existence of efficient solution algorithms for overall bank planning optimization models which can adequately handle the problems mentioned has been recently denied (Schmidt, 1983, p. 312).…”

Section: The Modelmentioning

confidence: 99%

Methodology and Software for Interactive Decision Support

Lewandowski¹,

Stanchev²

1989

Lecture Notes in Economics and Mathematical Systems

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The workshop was held in Albena, on the Black Sea coast. More than 80 scientists from 15 countries attended the workshop; 50 lectures were presented and 17 computer demonstration sessions took place. This Workshop is one of a series of meetings organized by nASA with the collaboration of scientific institutions from the National Member Organization countries. The previous meetings took place in Austria (1983), Hungary (1984) and the German Democratic Republic (1985). All proceedings of these meetings have been published by Springer Verlag in the series Lecture Notes in Economics and Mathematical Systems.The research on decision support systems has long tradition at nASA. The Institute, being the forum for common research of scientists from East and West, with different cultural backgrounds and different experiences with real life applications of their results, operates the international network of scientific institutions involved in research related to the methodology of decision analysis and decision support systems. The approach to this research assumes high level of synergy between three main components: methodological and theoretical backgrounds, computer implementation of decision support systems and real life applications. This synergy is reflected in the subject of papers presented during the workshop as well as in the structure of the Proceedings which is divided in three main sections.In the first section, Theory and Algorithms for Multiple Criteria Optimization, new theoretical developments in multiple criteria optimization are presented. Tanino presents new approach for application of multiple objective optimization in hierarchical systems, Wierzbicki discusses the relation between simulation and gaming for conflict resolution as well as proposes the interactive framework for supporting this kind of decision problems. The other group of papers addresses purely theoretical questionsNakayama presents recent developments in sensitivity and trade-offs analysis in multiobjective programming, Ramesh and others discuss the degeneracy problem. Finally, several papers are more algorithmic oriented -like paper by Katoh with presentation of new algorithms for bicriteria combinatorial optimization or the paper presenting the reachable set approach by £otov. Finally, Steuer presents the current state-of-the art in the interactive multiple criteria optimization.In the second section, Theory, Methodology and Software for Decision Support Systems, the principles of building decision support systems are presented as well as software IV tools constituting the building components of such systems. Moreover, several papers are devoted to the general methodology of building such systems or present experimental design of systems supporting certain class of decision problems. For example, paper by Makowski presents the HYBRID system for solving dynamic linear multiple criteria problems using the aspiration level paradigm. This system has been used as component of several practical implementations of DSS. Similar nature has ...

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Recent Developments in Management Science in Banking

Cited by 31 publications

References 46 publications

LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications

LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications

Operational Tools in the Management of Financial Risks

Methodology and Software for Interactive Decision Support

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