Search results for "optimization"
showing 10 items of 2824 documents
The Role of Covariance Matrix Forecasting Method in the Performance of Minimum-Variance Portfolios
2014
Providing a more accurate covariance matrix forecast can substantially improve the performance of optimized portfolios. Using out-of-sample tests, in this paper, we evaluate alternative covariance matrix forecasting methods by looking at (1) their forecast accuracy, (2) their ability to track the volatility of the minimum-variance portfolio, and (3) their ability to keep the volatility of the minimum-variance portfolio at a target level. We find large differences between the methods. Our results suggest that shrinkage of the sample covariance matrix improves neither the forecast accuracy nor the performance of minimum-variance portfolios. In contrast, switching from the sample covariance ma…
The Best Hedging Strategy in the Presence of Transaction Costs
2009
Considerable theoretical work has been devoted to the problem of option pricing and hedging with transaction costs. A variety of methods have been suggested and are currently being used for dynamic hedging of options in the presence of transaction costs. However, very little was done on the subject of an empirical comparison of different methods for option hedging with transaction costs. In a few existing studies the different methods are compared by studying their empirical performances in hedging only a plain-vanilla short call option. The reader is tempted to assume that the ranking of the different methods for hedging any kind of option remains the same as that for a vanilla call. The …
Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations
2008
In the presence of transaction costs the perfect option replication is impossible which invalidates the celebrated Black and Scholes (1973) model. In this chapter we consider some approaches to option pricing and hedging in the presence of transaction costs. The distinguishing feature of all these approaches is that the solution for the option price and hedging strategy is given by a nonlinear partial differential equation (PDE). We start with a review of the Leland (1985) approach which yields a nonlinear parabolic PDE for the option price, one of the first such in finance. Since the Leland's approach to option pricing has been criticized on different grounds, we present a justification of…
Optimal Hedging of Option Portfolios with Transaction Costs
2006
One of the most successful approaches to option hedging with transaction costs is the utility based approach pioneered by Hodges and Neuberger (1989). However, this approach has one major drawback that prevents the broad application of this approach in practice: the lack of a closed-form solution. The direct numerical computations of the utility based hedging strategy are cumbersome in a practical implementation. Despite some recent advances in finding an explicit description of the utility based hedging strategy by using either asymptotic, approximation, or other methods, so far they were concerned primarily with hedging a single plain-vanilla option. However, in practice one often faces t…
Optimal Index Tracking Under Transaction Costs and Impulse Control
1998
We apply impulse control techniques to a cash management problem within a mean-variance framework. We consider the strategy of an investor who is trying to minimise both fixed and proportional transaction costs, whilst minimising the tracking error with respect to an index portfolio. The cash weight is constantly fluctuating due to the stochastic inflow and outflow of dividends and liabilities. We show the existence of an optimal strategy and compute it numerically.
Towards efficient inductive synthesis: Rapid construction of local regularities
2006
Given several input/output examples of some function we can state the problem: what is the “simplest” function which complies with these examples. This problem is well studied and is known to be very hard in the general case. In this paper we address a special case of the problem, when the target function can be expressed as a simple composition of known functions. We propose a new inductive synthesis algorithm for this case and show that it is efficient enough to synthesize complex geometry formulas.
New Perspectives and Challenges in Traffic and Transportation Engineering Supporting Energy Saving in Smart Cities—A Multidisciplinary Approach to a …
2022
Transportation, like other spheres of human activity, is constantly changing due to economic development. People are constantly improving the ways of moving using various energy sources, expanding infrastructures, and adapting cities to increasing traffic volumes. An efficient, modern, and demand-driven transportation infrastructure is the strength of a growing economy. The development of transportation improves the accessibility of regions and labor markets and reduces the nuisance caused by congestion. All these elements translate into economic benefits, competitiveness, increased productivity of enterprises and regions, as well as social benefits. However, transport consumes enormous ene…
Scalable Deployment of Efficient Transportation Optimization for SMEs and Public Sector
2014
Transportation planning is central activity in logistic network design. In this study, we examine the deployment of optimization methodology to transportation planning. More specifically, we examine the adoption of system solving the well-known combinatorial optimization problem, the vehicle routing problem (VRP). Its application has resulted in efficiency gains in transportation logistics, but they have not been very widespread, and especially small-scale operators have not yet benefited from these systems. In this paper, we present a prospective case study on the issues during deployment of optimization, especially in the context of small and medium enterprises (SMEs). We propose a novel …
Design of a transverse flux machine for power generation from seawaves
2014
In this paper, we present a transverse flux linear generator. We investigate the possibility to use this generator to extract energy from seawaves. We propose an optimization procedure that allows us to obtain an optimized design of the generator. The optimized design of the converter shows a power generation capability index much higher than other renewable systems.
Efficient GRASP+VND and GRASP+VNS metaheuristics for the traveling repairman problem
2011
Abstract: The traveling repairman problem is a customer-centric routing problem, in which the total waiting time of the customers is minimized, rather than the total travel time of a vehicle. To date, research on this problem has focused on exact algorithms and approximation methods. This paper presents the first metaheuristic approach for the traveling repairman problem.