Stochastic fractional programming for minimizing variability

In situations where risk aversion is involved, minimization of the variability of the economic criterion under consideration is indispensable. This paper provides a typical stochastic fractional programming model for minimizing the absolute value of the coefficient of variation of a linear function of decision variables under the assumption that the coefficient parameters of the decision variables have a known multivariate normal probability distribution. The stochastic problem is shown to be equivalent to a deterministic problem whose solution can be obtained by solving a related quadratic programming problem.