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bio website abremod.com
location Austin, TX
age 48
visits member for 3 years, 3 months
seen Dec 16 at 15:47

Operations Research Analyst

comment Portfolio Optimization using S&P Universes
@Mayou I'm constructing a hypothetical situation where your inputs favor the larger cap stocks in the S&P 500, so the solvers don't much any benefit from the extra flexibility of the S&P 1500 universe, but have to waste time considering it.
comment default probability
P(A∩B)=P(A)∗P(B) is not correct. It's P(A)*P(B|A). Suppose A is a coin toss of heads and B is a coin toss of tails. In that case $P(A \cap B) = 0$, but P(A)*P(B) = 0.25.
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.
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.
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.
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.
comment Calculate the “ten year zero rate” given two bonds with two prices
There is no summation to solve. I added (corrected) computation. The only thing you need a calculator for is computing ln(0.7).
comment Risk-Parity Portfolio Optimization using Extreme Optimization in C#
The model you are trying to solve is a convex QP, which can be solved with solvers like cplex and gurobi which are free for students and have c# interfaces.
comment portfolio optimisation with VaR (or CVaR) constraints
@RockScience $\sum_{j \in J} r_{ij} = |J| \bar{r_i}$ if the monte carlo simulations match your expected return forecast.
comment What is the origin of the words “put” and “call” that characterize derivatives?
StackExchange has a site dedicated to the english language. You might get a better answer there.