Conic optimization in finance

Ask Question

Asked 2 months ago

Active 2 months ago

Viewed 55 times

Linear programming and quadratic programming are types of convex optimization that are often used.

Does conic optimization or programming have any applications in finance? Or for where the previous types of problems are converted to conic, and why?

An overview of a chosen financial model's formulation as a conic optimization problem would be helpful, not just pdf links from search.

asked Nov 16 '20 at 17:03

develarist

2,7431 gold badge5 silver badges25 bronze badges

$\begingroup$ stanford.edu/~boyd/papers/pdf/cvx_portfolio.pdf $\endgroup$ – JPN Nov 16 '20 at 19:20
$\begingroup$ Cones are convex, whence conic optimization is a subfield of convex optimization. $\endgroup$ – Tobsn Nov 17 '20 at 8:36
$\begingroup$ yes, do you know of any $\endgroup$ – develarist Nov 17 '20 at 12:10
$\begingroup$ A few examples, not necessarily finance, in section 4 of the SDPT3 whitepaper. $\endgroup$ – steveo'america Nov 17 '20 at 18:58

add a comment |

0 Your Answer

Name

Required, but never shown

Post as a guest

Name

Required, but never shown

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy