IDEAS home Printed from https://ideas.repec.org/a/eee/jomega/v17y1989i1p81-89.html
   My bibliography  Save this article

Goal programming models for managing interest-rate risk

Author

Listed:
  • Booth, GG
  • Bessler, W

Abstract

This paper develops two goal programming models (Forecast Model and Duration Model) to assist a bank in creating optimal strategies to manage interest-rate risk. The Forecast Model requires knowledge concerning the magnitude and direction of potential interest-rate shocks, and the Duration Model only needs information concerning the direction of this shock. The two models are shown to provide identical solutions for a plausible economic scenario. Because of its less restrictive information base, the Duration Model is concluded to be superior to the Forecast Model and other similarly constructed extant models.

Suggested Citation

  • Booth, GG & Bessler, W, 1989. "Goal programming models for managing interest-rate risk," Omega, Elsevier, vol. 17(1), pages 81-89.
    • Handle: RePEc:eee:jomega:v:17:y:1989:i:1:p:81-89
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0305-0483(89)90023-6
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Aouni, Belaid & Colapinto, Cinzia & La Torre, Davide, 2014. "Financial portfolio management through the goal programming model: Current state-of-the-art," European Journal of Operational Research, Elsevier, vol. 234(2), pages 536-545.
    2. Cinzia Colapinto & Raja Jayaraman & Simone Marsiglio, 2017. "Multi-criteria decision analysis with goal programming in engineering, management and social sciences: a state-of-the art review," Annals of Operations Research, Springer, vol. 251(1), pages 7-40, April.
    3. Cooper, W. W. & Lelas, V. & Sueyoshi, T., 1997. "Goal programming models and their duality relations for use in evaluating security portfolio and regression relations," European Journal of Operational Research, Elsevier, vol. 98(2), pages 431-443, April.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jomega:v:17:y:1989:i:1:p:81-89. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/375/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.