A STOCHASTIC POSSIBILISTIC PROGRAMMING-MODEL FOR BANK HEDGING DECISION-PROBLEMS

被引：13

作者：

LAI, YJ

HWANG, CL

机构：

[1] Department of Industrial Engineering, Kansas State University, Manhattan

来源：

FUZZY SETS AND SYSTEMS | 1993年 / 57卷 / 03期

关键词：

BALANCE-SHEET OPTIMIZATION; BANK HEDGING DECISIONS; LINGUISTIC INTEREST RATES UNDER MULTIPLE STATES; STOCHASTIC POSSIBILISTIC PROGRAMMING; POSSIBILISTIC PROGRAMMING; MULTIPLE OBJECTIVE LINEAR PROGRAMMING; AUGMENTED MAXIMIN;

D O I：

10.1016/0165-0114(93)90029-H

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

For a practical bank hedging decision optimization problem, interest rates and price of futures contract may involve both fuzziness and randomness. For subjective nature of satisfaction, maximum desired values of loan demand, deposit supply and ratio of desired loan to deposit are often fuzzy. In this study, we consider and solve a stochastic possibilistic programming model of bank hedging decision problems with the above characters. We first use the expected value to obtain an auxiliary possibilistic linear programming problem which is further resolved by use of beta-level cut. An (crisp) auxiliary bi-objective linear programming model is then proposed and solved by our augmented maximin approach. For illustration purpose. a numerical bank hedging decision problem is solved.

引用

页码：351 / 363

页数：13

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