## Search

Now showing items 1-10 of 57

#### Optimal multi-period consumption and investment with short-sale constraints

(Elsevier, 2014-03)

This article examines agents’ consumption-investment problem in
a multi-period pure exchange economy where agents are constrained
with the short-sale of state-dependent risky contingent
claims. In equilibrum, agents ...

#### Lower hedging of American contingent claims with minimal surplus risk in finite-state financial markets by mixed-integer linear programming

(2014)

The lower hedging problem with a minimal expected surplus risk criterion in incomplete markets is studied for American claims in finite state financial markets. It is shown that the lower hedging problem with linear expected ...

#### Discrete-time pricing and optimal exercise of American perpetual warrants in the geometric random walk model

(2013)

An American option (or, warrant) is the right, but not the obligation, to purchase or sell an underlying equity at any time up to a predetermined expiration date for a predetermined amount. A perpetual American option ...

#### Mixed-integer second-order cone programming for lower hedging of American contingent claims in incomplete markets

(2013)

We describe a challenging class of large mixed-integer second-order cone programming models which arise in computing the maximum price that a buyer is willing to disburse to acquire an American contingent claim in an ...

#### Linear programming via a quadratic penalty function

(Physica - Verlag, 1996)

We use quadratic penalty functions along with some recent ideas from linear l1 estimation to arrive at a new characterization of primal optimal solutions in linear programs. The algorithmic implications of this analysis ...

#### Newton's method for linear inequality systems

(Elsevier, 1998)

We describe a modified Newton type algorithm for the solution of linear inequality systems in the sense of minimizing the ℓ2 norm of infeasibilities. Finite termination is proved, and numerical results are given. © 1998 ...

#### Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens

(Taylor & Francis, 2014)

In an economy with a negative exponential utility investor facing a set of risky assets with
normally distributed returns over multiple periods, we consider the problem of making an ambiguityrobust dynamic portfolio choice ...

#### New characterizations of ℓ1 solutions to overdetermined systems of linear equations

(Elsevier, 1994)

New characterizations of the ℓ1 solutions to overdetermined system of linear equations are given. The first is a polyhedral characterization of the solution set in terms of a special sign vector using a simple property of ...

#### A new finite continuation algorithm for linear programming

(Society for Industrial and Applied Mathematics, 1996)

We describe a new finite continuation algorithm for linear programming. The dual of the linear programming problem with unit lower and upper bounds is formulated as an f\ minimization problem augmented with the addition ...

#### Parallel image restoration using surrogate constraint methods

(Academic Press, 2007)

When formulated as a system of linear inequalities, the image restoration problem yields huge, unstructured, sparse matrices even for images of small size. To solve the image restoration problem, we use the surrogate ...