 A linear programming model for bank balance sheet managementS. Güven and E. Persentili Omega, 1997, vol. 25, issue 4, 449-459 Abstract: Bank balance-sheet management which involves the determination of the size and composition of a bank's assets and liabilities over a multiperiod planning horizon is one of the most prominent issues in bank strategic planning. Not only management policy choices, but legal restrictions and minimum safety requirements, dictated by the economic and political environment operated in, mean a balance has to be struck between the conflicting objectives of profitability, liquidity and risk. Bank balance-sheet management is further complicated by the fact that decisions made at any point in time affect profits, liquidity and risk, not only at the time they are made, but in the periods that follow. This paper discusses a multiperiod linear programming model constructed for a commercial bank in Turkey, that takes into consideration this systematic relationship in the legal, financial and institutional setup of Turkey over the period 1987-1990. Sensitivity analysis results demonstrate the relevance of the model for informed policy choice, and the use of the model as a planning tool. Keywords: linear; programming; banking; policy; analysis; balance-sheet; management (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:jomega:v:25:y:1997:i:4:p:449-459 Ordering information: This journal article can be ordered from Access Statistics for this article Omega is currently edited by B. Lev More articles in Omega from Elsevier |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.