POSSIBILISTIC LINEAR-PROGRAMMING FOR MANAGING INTEREST-RATE RISK

In this study, we 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, we 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 contract, loan demand, deposit supply and ratio of desired loan to deposit are assumed to be fuzzy, is solved for illustrating the new approach.