## Search

Now showing items 1-10 of 10

#### A derivation of Lovász' theta via augmented lagrange duality

(E D P Sciences, 2003)

A recently introduced dualization technique for binary linear programs with equality constraints, essentially due to Poljak et al. [13], and further developed in Lemar´echal and Oustry [9], leads to simple alternative ...

#### 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 ...

#### 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 ...

#### 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 ...

#### Non-linear pricing by convex duality

(Elsevier, 2015)

We consider the pricing problem of a risk-neutral monopolist who produces (at a cost) and offers an infinitely divisible good to a single potential buyer that can be of a finite number of (single dimensional) types. The ...

#### Expected gain-loss pricing and hedging of contingent claims in incomplete markets by linear programming

(Elsevier, 2010)

We analyze the problem of pricing and hedging contingent claims in the multi-period, discrete time, discrete state case using the concept of a "λ gain-loss ratio opportunity". Pricing results somewhat different from, but ...

#### 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 ...

#### 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 ...

#### Robust screening under ambiguity

(Springer, 2017)

We consider the problem of screening where a seller puts up for sale an indivisible good, and a buyer with a valuation unknown to the seller wishes to acquire the good. We assume that the buyer valuations are represented ...

#### 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 hold ...