A Linear Approximation Method For A Stochastic Constraint For A Multi-Objective Nonlinear Eurobond Investment Portfolio Model
Journal of Applied Science and Engineering (Taiwan), vol.27, no.5, pp.2453-2460, 2023 (ESCI, Scopus)
- Publication Type: Article / Article
- Volume: 27 Issue: 5
- Publication Date: 2023
- Doi Number: 10.6180/jase.202405_27(05).0009
- Journal Name: Journal of Applied Science and Engineering (Taiwan)
- Journal Indexes: Emerging Sources Citation Index (ESCI), Scopus
- Page Numbers: pp.2453-2460
- Keywords: chance constraints, financial investment models, nonlinear optimization
- Ankara Haci Bayram Veli University Affiliated: Yes
Abstract
Nonlinear mathematical models are widely used better to reflect the stochastic structure of financial investment problems and to express them numerically. However, in some real-life situations, it is necessary to consider not only one purpose but many purposes simultaneously. Therefore, we have to define these models with multi-objective programming. This study defines a multi-objective nonlinear Eurobond investment portfolio and showcases the normal distribution of purchase and selling prices. The study then proposes a mechanism to convert the stochastic constraint into an equivalent deterministic form and provides near-optimal solutions in reasonable times.