【摘要】 为了对金融机构的资产进行有效组合 ,使得资产和负债合理搭配 ,在不完全信息情形下 ,利用随机规划的定界技术 ,研究了资产负债管理模型参数的敏感性 ,分别得到了在随机利率和随机负债情形下极大效用函数的上、下界 ,进而确定了效用函数的活动范围 ,以此作为金融机构资产配置的参考依据更多还原

【Abstract】 In order to effectively allocate assets and match assets with liabilities for financial institutions, parameter sensitivity of the bond portfolio management model with incomplete information is studied by means of the stochastic programming. Upper and lower boundary estimations of maximal utility function on final wealth in connection with stochastic interest rate are obtained. Moreover, the scope of maximal utility function is determined. The work could be used as a reference for financial institutions to allocate their assets.更多还原