| The crux of bank crises is because of the wrong way of assets allocation, the optimization of assets allocation is important for the development of bank, so the management of combinatorial assets have good-sized influence to the bank's market abilities of competition and productiveness. Now the research of loan portfolio and combinatorial optimization model will give the help to the risk control and assets' combinatorial optimization of commercial bank, it also makes the banks answer to the conjuncture and take on important practical meaning.The paper is organized as follows. Section 1 introduces the knowledge that used in the paper—the model of asset-liability-management, and our theory is introduced in Section 2—the value.of real rights and put options equivalent theory. Our model is set up in Section 3. The asset allocation results are reported in Section 4.In this paper, we using portfolio value maximum of bank's assets as objective function, using value at risk (VaR) as constraint of assets' risk, the distribution model of asset-liability-management based on the value maximization of Short Puts Portfolio was set up.The characteristic lied on three aspects Firstly, we treat the enterprise loan as a loan portfolio and optimize this load portfolio by maximize the portfolio value, thus the loan's time value and inner value can be same reflected and successfully confirm the objective of loan portfolio optimization. Secondly, we using the portfolio value maximum of bank's assets as objective function, both reflect the double goal of income maximization and risk minimization, enable a more accurate distribution policy of the loan portfolio, and also resolve the overall measurement limitation of single objective function on income and risk. Thirdly, we research indicate that the conventional portfolio income maximization theory is a special case under the theory of loan portfolio value maximum, this result can fill up the weaknesses of income maximization theory on ignoring the time value of loan and failure in reflecting the risk comprehensively. |
