Optimisation of multi-objective commercial bank balance sheet management model: a parametric T-set approach (Q2205099)

Summary: 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.