A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model
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 d...
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| Format: | Article |
| Language: | English |
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Tamkang University Press
2024-02-01
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| Series: | Journal of Applied Science and Engineering |
| Subjects: | |
| Online Access: | http://jase.tku.edu.tw/articles/jase-202405-27-5-0009 |
| _version_ | 1797333649957322752 |
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| author | Murat Cal Sibel Atan |
| author_facet | Murat Cal Sibel Atan |
| author_sort | Murat Cal |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-03-08T08:08:01Z |
| format | Article |
| id | doaj.art-f64373c45fb14ec687ad1ea569e9c9cd |
| institution | Directory Open Access Journal |
| issn | 2708-9967 2708-9975 |
| language | English |
| last_indexed | 2024-03-08T08:08:01Z |
| publishDate | 2024-02-01 |
| publisher | Tamkang University Press |
| record_format | Article |
| series | Journal of Applied Science and Engineering |
| spelling | doaj.art-f64373c45fb14ec687ad1ea569e9c9cd2024-02-02T10:20:27ZengTamkang University PressJournal of Applied Science and Engineering2708-99672708-99752024-02-012752453246010.6180/jase.202405_27(05).0009A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio ModelMurat Cal0Sibel Atan1Department of Engineering and Technology, American College of the Middle East, 50000, Egaila Block 6, Ahmadi, KuwaitDepartment of Economics, Faculty of Economics and Administrative Sciences, Haci Bayram Veli University, 06570, Cankaya, Ankara, TurkeyNonlinear 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.http://jase.tku.edu.tw/articles/jase-202405-27-5-0009financial investment modelschance constraintsnonlinear optimization |
| spellingShingle | Murat Cal Sibel Atan A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model Journal of Applied Science and Engineering financial investment models chance constraints nonlinear optimization |
| title | A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model |
| title_full | A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model |
| title_fullStr | A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model |
| title_full_unstemmed | A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model |
| title_short | A Linear Approximation Method for a Stochastic Constraint for a Multi-Objective Nonlinear Eurobond Investment Portfolio Model |
| title_sort | linear approximation method for a stochastic constraint for a multi objective nonlinear eurobond investment portfolio model |
| topic | financial investment models chance constraints nonlinear optimization |
| url | http://jase.tku.edu.tw/articles/jase-202405-27-5-0009 |
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