Solving a fractional programming problem in a commercial bank

نویسندگان

چکیده

<p style='text-indent:20px;'>We formulate a new optimization problem which arises in the Bank Asset and Liability Management (ALM). The is fractional programming belongs to class of global optimization. Most problems are return maximization or risk minimization problems. For solving problem, we propose curvilinear multi-start algorithm finds best local solutions problem. Numerical results given based on balance sheets 5 commercial banks Mongolia.</p>

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ژورنال

عنوان ژورنال: Journal of Industrial and Management Optimization

سال: 2022

ISSN: ['1547-5816', '1553-166X']

DOI: https://doi.org/10.3934/jimo.2021153