de Andrés, J.; Angla, J.; Cámara, X.; Molina, M. C.; … - In: Fuzzy Economic Review VIII (2003) 2, pp. 55-71
In this paper we develop a model of asset liability management for banking companies that maximises bank profits and minimises capital requirement in accordance with the Basel Accords. The model is based on fuzzy programming, which we use to solve a bi objective programme with crisp...