D Dutta

Non-Linear Stochastic Fractional Programming Models of Financial Derivatives

  • Vincent Charles
  • D Dutta
    • Categories Finance and Economics, Stochastic Programming Tags , ,

    Non-Linear Stochastic Fractional programming models provide numerous insights into a wide variety of areas such as in financial derivatives. Portfolio optimization has been one of the important research fields in modern finance. The most important character within this optimization problem is the uncertainty of the future returns on assets. The objective of this study is … Read more

    Linear Stochastic Fractional Programming with Sum-of-Probabilistic-Fractional Objective

  • Vincent Charles
  • D Dutta
    • Categories Stochastic Programming Tags , , ,

    Fractional programming deals with the optimization of one or several ratios of functions subject to constraints. Most of these optimization problems are not convex while some of them are still generalised convex. After about forty years of research, well over one thousand articles have appeared on applications, theory and solution methods for various types of … Read more