A goal programming model for bank assets and liabilities management

Assets and liabilities management is one of the most important issues in bank strategic planning. In the past, this problem has often been addressed through conventional mathematical programming, i.e. linear programming. However, bank management typically involves several conflicting goals, such as the maximisation of returns, minimisation of risk, expansion of deposits and loans, etc. The complexity of this problem can be captured more adequately by multiobjective mathematical programming. This paper discusses the construction and application at the Commercial Bank of Greece of a goal programming model that takes into account the essential institutional, financial, legal and bank policy considerations.