Title: Optimisation of multi-objective commercial bank balance sheet management model: a parametric T-set approach

Authors: Arindam Garai; Bappa Mondal; Tapan Kumar Roy

Addresses: Department of Mathematics, Sonarpur Mahavidyalaya, Rajpur, Kolkata, WB, 700149, India ' Department of Mathematics, IIEST, Shibpur, Howrah, WB, 711103, India ' Department of Mathematics, IIEST, Shibpur, Howrah, WB, 711103, India

Abstract: In this article, we consider optimisation of multi-objective model with fuzzy coefficients in imprecise environment. In 2016, we introduced T-set to supersede fuzzy set for representing impreciseness. It followed our observation that some constraints of existing classical fuzzy optimisation method compel membership values of fuzzy objective functions and constraints to fall in range between zero and one. So we cannot always attain most preferable Pareto optimal solution to it. Again existing constraints in this method sometimes show models as infeasible. Here we introduce parametric T-set. Next we consider multi-objective optimisation model with fuzzy cost coefficients and present general algorithm to arrive at parametric Pareto optimal solution to it. In numerical application, we illustrate usefulness of proposed algorithm by considering commercial bank balance sheet management model with fuzzy cost coefficients in parametric T-environment. Also we perform sensitivity analysis of parameters and present key managerial insights. Finally we draw conclusions.

Keywords: commercial bank balance sheet management; fuzzy coefficients; multi-objective optimisation; Pareto optimal solution; parametric T-characteristic function; parametric T-set.

DOI: 10.1504/IJMOR.2019.103001

International Journal of Mathematics in Operational Research, 2019 Vol.15 No.4, pp.395 - 416

Received: 22 Feb 2018
Accepted: 24 May 2018

Published online: 20 Sep 2019 *

Full-text access for editors Access for subscribers Purchase this article Comment on this article