Developing a two-stage multi-period stochastic model for asset and liability management: A real case study in a commercial bank of Iran

In this paper, a novel two-stage multi-period stochastic model is developed to obtain comprehensive plan. This plan aims manage the assets and liabilities such that all legal budget constraints are satisfied. Assets in include short- long-term loans with reasonable interest rates, investments stock market, varied bonds different expirations, other banks, Central Bank. However, encompass types of sight investment deposits maturities. model, each type deposit's amount considered decision variable, while its total assumed be stochastic. The mathematical constructed an innovative way previous possible transactions planning horizon could initial parameters. Real data for commercial bank Tehran, Islamic Republic Iran capital, used construct check optimization model. revenues obtained through one achieved based on experiences financial experts four years compared.