Non-Linear Stochastic Fractional Programming Models of Financial Derivatives

  • Vincent Charles
  • D Dutta
    • Categories Finance and Economics, Stochastic Programming Tags , , Short URL: https://optimization-online.org/?p=9761

    Non-Linear Stochastic Fractional programming models provide numerous insights into a wide variety of areas such as in financial derivatives. Portfolio optimization has been one of the important research fields in modern finance. The most important character within this optimization problem is the uncertainty of the future returns on assets. The objective of this study is to achieve a maximum profit with minimum investment in the share market. In this paper, we have discussed about linear and nonlinear stochastic fractional programming problems with mixed constraints, which is the key aspect of this model. The application of the model is discussed with an example.

    Citation

    ANSFPFD02062005,SDM Institute for Management Development, Mysore,KA,INDIA-570 011. The ICFAI Journal of Applied Finance, Vol 11, No.6, July 2005.

    Article

    Download

    View Non-Linear Stochastic Fractional Programming Models of Financial Derivatives