Alternate programming structures for bank portfolios

Recently a number of mathematical programming models have been developed to assist banks in their portfolio (balance sheet) management decision making. Generally, the model structures used may be classified as either linear, linear goal, or two-stage linear programming. Of these, linear programming models are the most common. The purpose of this paper is to discuss the optimal bank portfolio management solutions produced by each of the above programming structures. In addition, a new model structure, two-stage linear goal programming, is developed and compared to the other structures. From a decision-making perspective, this new model structure is found to provide additional useful information. © 1979