Bank portfolio management: a linear programming approach

Abstract

A linear programming model is presented here for determining the optimal portfolio of banks. It is not suggested that such a model is immediately applicable in the Indian situation. However, scope exists for applying the technique for determining the optimal composition of a single asset such as loans. If, however, rates of interest charged do not vary from loan to loan or if all loans are deemed to bear the same degree of risk, a model like this becomes inapplicable.