کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
481896 1446192 2007 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Solving non-linear portfolio optimization problems with the primal-dual interior point method
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Solving non-linear portfolio optimization problems with the primal-dual interior point method
چکیده انگلیسی

Stochastic programming is recognized as a powerful tool to help decision making under uncertainty in financial planning. The deterministic equivalent formulations of these stochastic programs have huge dimensions even for moderate numbers of assets, time stages and scenarios per time stage. So far models treated by mathematical programming approaches have been limited to simple linear or quadratic models due to the inability of currently available solvers to solve NLP problems of typical sizes. However stochastic programming problems are highly structured. The key to the efficient solution of such problems is therefore the ability to exploit their structure. Interior point methods are well-suited to the solution of very large non-linear optimization problems. In this paper we exploit this feature and show how portfolio optimization problems with sizes measured in millions of constraints and decision variables, featuring constraints on semi-variance, skewness or non-linear utility functions in the objective, can be solved with the state-of-the-art solver.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 181, Issue 3, 16 September 2007, Pages 1019–1029
نویسندگان
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