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With the rapid changes in the financial market and the increasingly strict financial supervision, banks need to further optimize their balance sheets and promote the steady development of business. This paper takes Bank of Shanghai as the object of analysis and adopts a multi-objective planning method to establish the optimal allocation model based on the five objectives of growth, liquidity, interest rate risk control, profitability and security of all asset liability portfolios including "stock + increment". The empirical results show that the optimal solutions corresponding to different priorities take into account these five objectives at the same time. Through the comparison between the predicted value and the upper limit value of the forecast period, it is found that there is still room for improvement in assets such as lending funds, loans and advances, and equity such as surplus reserve.
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