Asset Liability Management in Bank Portfolios with Fuzzy Linear Programming
FUZZY ECONOMIC REVIEW, 2003
In this paper we develop a model of asset liability management for banking companies that maximis... more In this paper we develop a model of asset liability management for banking companies that maximises bank profits and minimises capital requirement in accordance with the Basel Accords. The model is based on fuzzy programming, which we use to solve a bi objective programme with crisp coefficients. Subsequently, we propose a fuzzy programming model that makes it possible to avoid
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Papers by Monica Molina