Katsuhiro Tanaka – Optimization Online

Application of outer approximation to forecasting losses and scenarios in the target of portfolios with high of nonlinear risk

Published: 2019/01/15

Finance and Economics, Global Optimization Applications concave quadratic objective function, forecasting of scenario and loss, mathematical optimization, outer approximation, risk management

The purpose of this paper is to find appropriate solutions to concave quadratic programming using outer approximation algorithm, which is one of the algorithm of global optimization, in the target of the strong of concavity of object function i.e. high of nonlinear risk of portfolio. Firstly, my target model is a mathematical optimization programming to … Read more

Forecasting conceivable interest rate market scenarios and significant losses on interest rate portfolios using mathematical optimization

Published: 2019/01/10, Updated: 2019/01/15

Katsuhiro Tanaka

Constrained Nonlinear Optimization, Finance and Economics mathematical optimization, portfolio optimization, reverse stress test, risk management, stress test, uncertainty set

This study proposes a mathematical optimization programming model that simultaneously forecasts interest rate market scenarios and significant losses on interest rate market portfolios. The model includes three main components. A constraint condition is set using the Mahalanobis distance, which consists of innovation terms in a dynamic conditional correlation-generalized autoregressive conditional heteroscedasticity (DCC-GARCH) model that represent … Read more