Optimization Model of Asset-Liability Portfolio Considering Duration Perfect Matching

The usual focus of banking operation is on the risk management, one of whose key methods is the asset-liability management (ALM). Therefore, this paper puts forward the quantity-structured and the interest-structured symmetry principles on asset-liability management. With the tool of linear programming and the objective of the maximal interest return, an optimization model of asset-liability portfolio considering both interest and liquidity risk is set up. In this way, an effective distribution of assets insuring the banking liquidity and equity capital comes into being.