Xiaodi Bai

Asset Allocation under the Basel Accord Risk Measures

  • Xiaodi Bai
  • Xin Liu
  • Xianhua Peng
  • Zaiwen Wen
  • Xiaoling Sun
    • Categories (Mixed) Integer Nonlinear Programming, Finance and Economics Tags , , , , ,

    Financial institutions are currently required to meet more stringent capital requirements than they were before the recent financial crisis; in particular, the capital requirement for a large bank’s trading book under the Basel 2.5 Accord more than doubles that under the Basel II Accord. The significant increase in capital requirements renders it necessary for banks … Read more

    An Alternating Direction Method for Chance-Constrained Optimization Problems with Discrete Distributions

  • Xiaodi Bai
  • Jie Sun
  • Xiaoling Sun
  • Xiaojin Zheng
    • Categories (Mixed) Integer Nonlinear Programming, Nonlinear Optimization, Stochastic Programming

    We consider a chance-constrained optimization problem (CCOP), where the random variables follow finite discrete distributions. The problem is in general nonconvex and can be reformulated as a mixed-integer program. By exploiting the special structure of the probabilistic constraint, we propose an alternating direction method for finding suboptimal solutions of CCOP. At each iteration, this method … Read more