Solving a fractional programming problem in a commercial bank

DOI10.3934/jimo.2021153OpenAlexW3200432018MaRDI QIDQ2171099

Ankhbayar Chuluunbaatar, Rentsen Enkhbat

Publication date: 23 September 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2021153

zbMATH Keywords

fractional programming problemasset and liability managementcurvilinear multi-start algorithm

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Fractional programming (90C32) Risk models (general) (91B05)

Uses Software

• Global Optimization Toolbox For Maple

Cites Work

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• The value of the stochastic solution in stochastic linear programs with fixed recourse
• Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
• A Global Optimization Approach to Nonzero Sum Six-Person Game
• Three Asset Cash Balance and Dynamic Portfolio Problems

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