551 reputation
314
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


Nov
6
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.
Dec
10
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.
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
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
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.
Sep
17
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).
Sep
12
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.
Aug
18
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.
Sep
28
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.