Authors : Babak Jamshidinavid and Mastoureh Mehri
Abstract: A weakness in the banking system is to equip the resources and optimized allocation of those resources. In that way, the balance sheet management is specifically important. But the management policies and legal limitations whose purpose is to create a balance among the conflicting objectives of profitability, liquidity and risk in banks, would make the bank’s balance sheet management a kind of complicated program. The best way to fix this problem is using the multi-objective decision-making models. The objective of the present study is to design a mathematical model of asset-liability management using goal programming in Eghtesad-e-Novin Bank. Using the analytic hierarchy process technique, the financial statements information relevant to the fiscal year 2005-2014 and the legal requirements for that aim, the Goal Programming Model was designed according to the structural restrictions, goal restrictions and the objective function for the optimal allocation of resources to consumptions and it was solved using LINGO Software. The results suggest that the importance degree of objectives was determined by using the analytic hierarchy process technique, the conflicting objectives, requirements and policies were combined and satisfied and the optimal combination of balance sheet items was specified.
Babak Jamshidinavid and Mastoureh Mehri, 2016. Designing a Mathematical Model of Asset and Liability Management Using Goal Programming in Eghtesad-e-Novin Bank. International Business Management, 10: 1241-1248.