Finance and Economics

A semidefinite programming heuristic for quadratic programming problems with complementarity constraints

  • Stephen E. Braun
  • John E. Mitchell
    • Categories Complementarity and Variational Inequalities, Finance and Economics, Semi-definite Programming Tags , ,

    The presence of complementarity constraints brings a combinatorial flavour to an optimization problem. A quadratic programming problem with complementarity constraints can be relaxed to give a semidefinite programming problem. The solution to this relaxation can be used to generate feasible solutions to the complementarity constraints. A quadratic programming problem is solved for each of these … Read more

    Optimisation of physical and financial power purchase portfolios

  • Wilhelm Althaus
  • Michael Lucht
  • Gorden Spangardt
    • Categories Finance and Economics, Stochastic Programming Tags , , ,

    The deregulation of the European power market brings new sales prospects for the power-suppliers as well as an appreciable increase of entrepreneurial risks. In order to handle the novel price- and volume-risks the optimisation of decisionmaking under uncertain boundary conditions is of essential interest. The former task of resource management in energy-supply was the minimisation … Read more

    Optimal Portfolios using Linear Programming Models

  • Christos Papahristodoulou
    • Categories Applications - OR and Management Sciences, Finance and Economics, Linear Programming

    The classical Quadratic Programming formulation of the well known portfolio selection problem, is cumbersome, time consuming and relies on two important assumptions: (a) the expected return is multivariate normally distributed; (b) the investor is risk averter. This paper formulates two alternative models, (i) maximin, and (ii) minimization of absolute deviation. Data from a very simple … Read more

    Constrained Nonlinear Programming for Volatility Estimation with GARCH Models

  • A. Altay-Salih
  • Sven Leyffer
  • Mustafa C. Pinar
    • Categories Constrained Nonlinear Optimization, Finance and Economics Tags , , ,

    The paper proposes a constrained Nonlinear Programming methodology for volatility estimation with GARCH models. These models are usually developed and solved as unconstrained optimization problems whereas they actually fit into nonlinear, nonconvex problems. Computational results on FTSE 100 and S & P 500 indices with up to 1500 data points are given and contrasted to … Read more

    Minimum Risk Arbitrage with Risky Financial Contracts

  • Mustafa C. Pinar
    • Categories Finance and Economics, Robust Optimization, Second-Order Cone Programming Tags , , , ,

    For a set of financial securities specified by their expected returns and variance/covariances we propose the concept of minimum risk arbitrage, characterize conditions under which such opportunities may exist. We use conic duality and convex analysis to derive these characterizations. For practical computation a decidability result on the existence of an arbitrage opportunity is derived. … Read more