Author:
Chuluunbaatar Ankhbayar,Rentsen Enkhbat
Abstract
<p style='text-indent:20px;'>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.</p>
Publisher
American Institute of Mathematical Sciences (AIMS)
Subject
Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management,Applied Mathematics,Control and Optimization,Strategy and Management,Business and International Management
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