A Linear Approximation Method For A Stochastic Constraint For A Multi-Objective Nonlinear Eurobond Investment Portfolio Model

Cal M., Atan S.

Journal of Applied Science and Engineering (Taiwan), vol.27, no.5, pp.2453-2460, 2023 (ESCI, Scopus) identifier

  • 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.