Reputation
601
Next privilege 750 Rep.
See votes, expandable usercard
Badges
4 14
Newest
 Yearling
Impact
~54k people reached

Dec
9
awarded  Commentator
Dec
9
comment Min VaR and Min TE as second order cone program
@Richard my answer stays the same. Trading linearly constrained problem with a nonlinear objective for a nonlinearly constrained problem with a linear objective isn't progress. I suggest you take your current .mps file and try it with gurobi and cplex.
Dec
9
revised Market overview trading platforms (with OTC)
removed personal comment, spelling
Dec
9
suggested approved edit on Market overview trading platforms (with OTC)
Dec
8
comment Min VaR and Min TE as second order cone program
@Richard if you are using the built-in solver that comes with LINDO, then you can likely get at least a 10x speed-up with gurobi or cplex, even without improving your formulation. If you extract an .mps or .lp file, you can easily try the other solvers.
Dec
7
revised Min VaR and Min TE as second order cone program
added more details to the mixed-integer formulation
Dec
7
comment Min VaR and Min TE as second order cone program
@Richard linear problems with convex quadratic objectives are usually easier to solve than general SOCPs, but the gap is closing.
Dec
5
comment Min VaR and Min TE as second order cone program
@Richard It's possible that a continuous SOCP will solve faster than even a linear mixed-integer problem of similar size. It's probably not practical to model a problem with inherently discrete constraints as a continuous SOCP.
Dec
5
revised Min VaR and Min TE as second order cone program
added more details
Dec
5
revised Min VaR and Min TE as second order cone program
added an example
Dec
5
answered Min VaR and Min TE as second order cone program
Jan
30
revised What are the options for a mathematician to break into QF without working for a fund?
removed personal comment, grammar, formatting
Jan
30
suggested approved edit on What are the options for a mathematician to break into QF without working for a fund?
Oct
12
revised Searching for pairs-trading in sub O(n^2 t) time
removed personal comment, language
Oct
12
suggested approved edit on Searching for pairs-trading in sub O(n^2 t) time
Oct
5
revised Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
removed personal comment, spelling
Oct
5
suggested approved edit on Is it possible to “steal” financial data on publicly traded companies off the internet? Legally, I mean, what is the truth about “data” as a property
Sep
22
awarded  Yearling
Sep
20
revised Accounting for Withdrawals
removed personal comment, added tag
Sep
20
suggested approved edit on Accounting for Withdrawals