A Novel Expected Return Decision Model about a Portfolio of Optimal Interest-Sensitive Assets Allocation

Chuan Lee ； Chin-Tsai Lin ； Li-Hui Chen

《Pan-Pacific Management Review》 6卷1期 (2003/01) Pp. 33-44

並列摘要

This work considered the interest-sensitive assets of a commercial bank, excluding not only cash and deposits in other banks, but also short-term loans as a portfolio of bond interest rate sensitive assets and non-bond interest rate sensitive assets, and applied the GM (1,1) model of Grey Theory to develop a novel expected return decision model of this portfolio. Bank managers can use this model to calculate the expected return of the portfolio of interest-sensitive assets under an optimal allocation that satisfies the condition of minimizing the interest risk. That is, the novel model constructed herein can help the managers in determining the allocation of interest-sensitive assets.

並列關鍵字

Interest-sensitive assets ； portfolio ； optimal allocation ； Grey forecast model ； expected return

參考文獻

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