Solving a fractional programming problem in a commercial bank

DOI10.3934/JIMO.2021153MaRDI QIDQ2171099zbMATH OpenOpenAlexFDO

Authors Ankhbayar Chuluunbaatar, R. 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

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

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Cites work

• scientific article; zbMATH DE number 1818892 (Why is no real title available?)
• scientific article; zbMATH DE number 1836451 (Why is no real title available?)
• A Global Optimization Approach to Nonzero Sum Six-Person Game
• Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
• Generating interest rate scenarios for bank asset liability management
• Global optimization in action. Continuous and Lipschitz optimization: algorithms, implementations and applications
• On multistage stochastic integer programming for incorporating logical constraints in asset and liability management under uncertainty
• Risk Aversion via Excess Probabilities in Stochastic Programs with Mixed-Integer Recourse
• The value of the stochastic solution in stochastic linear programs with fixed recourse
• Three Asset Cash Balance and Dynamic Portfolio Problems

Cited in

(3)

• Efficient algorithms for solving optimization problems of banks
• Fractional programming approach to a cost minimization problem in electricity market
• Solving capital structure optimization problem

Describes a project that uses

Uses Software

• Global Optimization Toolbox For Maple

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