Robust Goal Programming as a Novelty Asset Liability Management Modeling in Non-Financial Companies: A Systematic Literature Review

In addressing asset-liability management (ALM) problems, goal programming (GP) has been widely applied to integrate multiple objectives. However, it is inadequate in handling data changes in ALM caused by interest rate fluctuations. Therefore, a more robust and improved ALM optimization method is ne...

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Vydáno v:Computation Ročník 12; číslo 11; s. 220
Hlavní autoři: Wijayanti, Hagni, Supian, Sudradjat, Chaerani, Diah, Shuib, Adibah
Médium: Journal Article
Jazyk:angličtina
Vydáno: Basel MDPI AG 01.11.2024
Témata:
Asset liability management
Asset-liability management (Banking)
Bibliometrics
Data analysis
Factor analysis
Financial management
financial performance
Goal programming
Interest rates
Keywords
Linear programming
Literature reviews
Mathematical optimization
Methods
Modelling
Optimization
Production planning
robust goal programming
Robustness
Science
systematic literature review
Systematic review
Uncertainty
Indonesia
ISSN:2079-3197, 2079-3197
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Shrnutí:In addressing asset-liability management (ALM) problems, goal programming (GP) has been widely applied to integrate multiple objectives. However, it is inadequate in handling data changes in ALM caused by interest rate fluctuations. Therefore, a more robust and improved ALM optimization method is needed to manage fluctuations in financial ratios in ALM. This study introduces a novel approach by combining a systematic literature review (SLR) with the preference reporting items for systematic reviews and meta-analysis (PRISMA) method and bibliometric analysis to investigate the application of robust goal programming (RGP) models in ALM. The methodology involved planning, search and selection, analysis, and result interpretation as part of the SLR process. Using PRISMA, seven relevant publications were identified. The results of this SLR present a new strategy to combine goal programming and robust optimization to enhance ALM. Model development steps include constructing weighted goal programming (WGP) or lexicographic goal programming (LGP) models, using factor analysis for financial ratios, applying the best-worst method or simple additive weighting (SAW) for prioritization, and modeling financial ratio uncertainty with robust counterparts. This research provides a foundation for further studies and offers guidance to non-financial companies on adopting RGP for strategic ALM decisions and optimizing ALM under uncertainty.
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ISSN:2079-3197
2079-3197
DOI:10.3390/computation12110220