A SUGGESTED CHANCE CONSTRAINED GOAL PROGRAMMING MODEL TO SOLVE THE PORTFOLIO PROBLEM
Nagwa Mohammed Albehery, Afaf El-Dash, Marwa A. Helal · Far East Journal of Mathematical Sciences (FJMS) · 2022
In this paper, the problem of the best distribution of portfolios in commercial banks is considered. The main objectives are as follows: (i) Construction of a suitable probabilistic model of the problem when the capital adequacy ratio, stock profit, and credit risk ratio are random variables. (ii) Solving the suggested chance constrained goal programming model by goal programming methods after transforming it into an equivalent deterministic model. (iii) Analysis of the real data of the Egyptian bank (Bank Misr) during the period (2009/2010) - (2018/2019) by the SPSS package. Then the model has been applied to obtain the best compromise solution by the LINGO package.