Application of Chance-ConstrainednProgramming to Solution of the So-called 'Savings and Loan Association' Type of Problem

摘要

This paper contains an application of chance-constrained programming to a problem in financial planning. In particular the problem is one of planning for liquidity in a savings and loan association first discussed by Charnes and Thore. The optimal rules for this problem are found and compared with the optimal linear rules given by Charnes and Thore. The discon¬tinuous nature of the optimal rules is discussed from economic and control theory viewpoints.