Open AccessSolving a fractional programming problem in a commercial bank
Author(s) -
Ankhbayar Chuluunbaatar,
Rentsen Enkhbat
Publication year - 2022
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2021153
Subject(s) - fractional programming , mathematical optimization , optimization problem , computer science , maximization , minification , curvilinear coordinates , liability , asset (computer security) , mathematics , finance , economics , nonlinear programming , computer security , geometry , physics , quantum mechanics , nonlinear system
We formulate a new optimization problem which arises in the Bank Asset and Liability Management (ALM). The problem is a fractional programming which belongs to a class of global optimization. Most of optimization problems in the Bank Asset and Liability Management are return maximization or risk minimization problems. For solving the fractional programming problem, we propose curvilinear multi-start algorithm which finds the best local solutions to the problem. Numerical results are given based on the balance sheets of 5 commercial banks of Mongolia.