Goal programming techniques for bank asset liability management. (Q1887538)

This book, divided into five chapters, deals with the problem of bank asset liability management (i.e., the minimization of risk by holding the appropriate amount of assets and liabilities) and offers a novel approach towards its solution using goal programming methods. The first chapter of the book is, as expected, an introductory one. Here the definitions and elementary properties of utility functions are presented, together with elementary asset management models and the general economic role of financial institutions. In the second chapter, an overview of asset liability management techniques is presented. This includes multi-objective linear programming, dynamic programming, stochastic linear programming and simulation. The third chapter is the main research chapter. Here the principles of multi-objective and goal programming are presented, followed by the important issue of solution dominance. The chapter concludes with a short section on Monte Carlo simulation. Chapter 4 considers applications of goal management techniques to the banking sector. The full formulation of a model is presented including multiple objectives, constraints and goals, and is followed by its solution and analysis of the results. Methods for post-optimality are also described. The book concludes with a fifth and final chapter which presents a summary of the research and suggestions for future extensions.