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

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.

Keywords

• financial investment models
• chance constraints
• nonlinear optimization