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

Murat  Cal; Sibel  Atan

doi:10.6180/jase.202405_27(5).0009

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

Mathematics / Statistics

Murat Cal¹This email address is being protected from spambots. You need JavaScript enabled to view it., Sibel Atan²

¹Department of Engineering and Technology, American College of the Middle East, 50000, Egaila Block 6, Ahmadi, Kuwait

²Department of Economics, Faculty of Economics and Administrative Sciences, Haci Bayram Veli University, 06570, Cankaya, Ankara, Turkey

Received: March 2, 2023
Accepted: January 3, 2023
Publication Date: October 5, 2023

Copyright The Author(s). This is an open access article distributed under the terms of the Creative Commons Attribution License (CC BY 4.0), which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are cited.

Download Citation: ||https://doi.org/10.6180/jase.202405_27(5).0009

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.

Keywords: financial investment models; chance constraints; nonlinear optimization

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