학술논문
Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques
Document Type
Working Paper
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Abstract
The paper presents two new approaches to modeling the interaction of small and medium pricetaking traders with a stock exchange. In the framework of these approaches, the traders can form and manage their portfolios of financial instruments traded on a stock exchange with the use of linear, integer, and mixed programming techniques. Unlike previous authors publications on the subject, besides standard securities, the present publication considers derivative financial instruments such as futures and options contracts.
Comment: 88 pages
Comment: 88 pages