A STOCHASTIC POSSIBILISTIC PROGRAMMING-MODEL FOR BANK HEDGING DECISION-PROBLEMS

For a practical bank hedging decision optimization problem, interest r ates and price of futures contract may involve both fuzziness and rand omness. For subjective nature of satisfaction, maximum desired values of loan demand, deposit supply and ratio of desired loan to deposit ar e often fuzzy. In this study, we consider and solve a stochastic possi bilistic programming model of bank hedging decision problems with the above characters. We first use the expected value to obtain an auxilia ry possibilistic linear programming problem which is further resolved by use of beta-level cut. An (crisp) auxiliary bi-objective linear pro gramming model is then proposed and solved by our augmented maximin ap proach. For illustration purpose. a numerical bank hedging decision pr oblem is solved.