Two approaches to modeling the interaction of small and medium price-taking traders with a stock exchange by mathematical programming techniques

TL;DR

This paper introduces two novel mathematical programming models for small and medium traders interacting with stock exchanges, incorporating derivatives like futures and options for more comprehensive portfolio management.

Contribution

It presents new approaches that extend existing models by including derivative instruments and using advanced programming techniques.

Findings

Models enable portfolio management with derivatives.

Incorporates linear, integer, and mixed programming methods.

Provides a broader framework than previous models.

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.