Journal article
THE MATCHING OF ASSETS WITH LIABILITIES BY GOAL PROGRAMMING
Managerial finance, Vol.16(1), pp.23-26
01/01/1990
DOI: 10.1108/eb013636
Abstract
A major problem facing the financial industry today is interest rate fluctuations. An important technique for insulating a fixed-income portfolio from shifts in the term structure of interest rates is the method of cash-flow matching. This method can be enhanced by allowing carry forward and borrowing from future surpluses. Unfortunately, the resulting mathematical program is non-linear. In this paper, we show that the introduction of deviational variables linearises the problem. As the decision maker may have several incommensurable objectives, we propose a goal programming formulation as a realistic and flexible model for this problem. The resulting model can then be solved by using a standard operational research computer package.
Details
- Title: Subtitle
- THE MATCHING OF ASSETS WITH LIABILITIES BY GOAL PROGRAMMING
- Creators
- E.S Rosenbloom - University of ManitobaElias S.W Shiu - University of Manitoba
- Resource Type
- Journal article
- Publication Details
- Managerial finance, Vol.16(1), pp.23-26
- Publisher
- MCB UP Ltd
- DOI
- 10.1108/eb013636
- ISSN
- 0307-4358
- eISSN
- 1758-7743
- Language
- English
- Date published
- 01/01/1990
- Academic Unit
- Statistics and Actuarial Science
- Record Identifier
- 9984257597202771
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