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Non-Linear Stochastic Fractional Programming Models of Financial Derivatives

V Charles (v.chals***at***gmail.com)
D Dutta (ddutta***at***nitw.ernet.in)

Abstract: 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.

Keywords: Stochastic Programming, Fractional Programming, Financial Derivatives

Category 1: Stochastic Programming

Category 2: Applications -- OR and Management Sciences (Finance and Economics )

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

Download: [PDF]

Entry Submitted: 06/02/2005
Entry Accepted: 06/02/2005
Entry Last Modified: 07/01/2005

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