BANK PORTFOLIO SELECTION.

The article focuses on the development of a banking portfolio selection model that examines the variability of gross asset levels and income as banking risks. It states that the handling of liquidity constraints is the primary benefit of using chance-constrained programming. It mentions that there was a lack of data concerning transaction costs which led to the assumption that real estate and consumer loans were completely illiquid and conversely that securities would be completely liquid. It states a further assumption would be that if the assets were liquidated during this period, the coupon on securities would not be obtained.