Possibilistic linear programming for managing interest rate risk

Possibilistic linear programming for managing interest rate risk

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Article ID: iaor19931817
Country: Netherlands
Volume: 54
Issue: 2
Start Page Number: 135
End Page Number: 146
Publication Date: Mar 1993
Journal: Fuzzy Sets and Systems
Authors: ,
Keywords: programming: linear, fuzzy sets
Abstract:

In this study, the authors consider the linear programming problem with the objective of the investment discounted value, where the interest rate is imprecise and has a triangular possibilistic distribution. An (crisp) auxiliary bi-objective linear programming model is proposed to resolve this possibilistic nature. Furthermore, the authors develop an extended Zimmermann approach, called augmented max-min approach, for solving this auxiliary bi-objective linear programming problem and other multiple objective linear programming problems. Finally, a numerical bank balance sheet problem, where interest rates, price of futures contrast, loan demand, deposit supply and ratio of desired loan to deposit are assumed to be fuzzy, is solved for illustrating the new approach.

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