Optimization methods in portfolio management and option hedging ∗ Huyˆn PHAM e Laboratoire de Probabilit´s et e Mod`les Al´atoires e e CNRS‚ UMR 7599 Universit´ Paris 7 e e-mail: pham@math.jussieu.fr and Institut Universitaire de France April 24‚ 2007 Abstract These lecture notes give an introduction to modern‚ continuous-time portfolio management and option hedging. We present the stochastic control method to portfolio optimization‚ which covers Merton’s pioneering work. The
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Portfolio optimization - a practical approach Andrzej Palczewski Institute of Applied Mathematics Warsaw University June 29‚ 2008 1 Introduction The construction of the best combination of investment instruments (investment portfolio) is a principal goal of investment policy. This is an optimization problem: select the best portfolio from all admissible portfolios. To approach this problem we have to choose the selection criterion first. The seminal paper of Markowitz [8] opened a new era
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Optimization of drivers of a bus company PROBLEM: A local bus company named “BAHON PORIBAHAN LIMITED” provides service from khilgaon to Mirpur-14.It starts service at 6 A.M and continues till 10 P.M. At present it has 50 drivers and many of them remain idle most of the time. The owner of the company feels that they have extra drivers and decided to maximize their profit by re-scheduling drivers. A driver can work for 8 hours and can remain idle for next 4 hours. Drivers start their job at 6 AM
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Introduction Linear optimization is a mathematical method for determining a way to achieve the best outcome such as maximum profit or lowest cost in a given mathematical model for some list of requirements represented as linear relationships. Linear programming is a specific case of mathematical programming The Primary Purpose of the present investigation is to develop an interactive spreadsheet tool to aid in determining a maximum return function in 401K plan. In this paper‚ we discuss how the
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Portfolio Optimization Questions Risk Management Dr. Castro Fall 2002 Assume you are the manager of a risky portfolio with an expected rate of return of 18 % and a standard deviation of 28%. The T-bill rate is 8%. 1. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. What is the expected value and standard deviation of the rate of return on his portfolio? 2. Suppose that your risky portfolio includes the following investments
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SAP Note 1431798 Oracle 11.2.0: Database Parameter Settings Note Language: English Version: 47 Validity: Valid Since 21.02.2012 Summary Symptom This note contains SAP’s recommendations for the optimal configuration of Oracle Database Release 11.2. These parameter recommendations are relevant for all SAP products. This note will be updated regularly once a month. Beyond that‚ changes will only be made in exceptional cases for critical Oracle parameters. Change history: o February 14‚ 2012:
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International Journal of Computer Science and Management Research Vol 2 Issue 4 April 2013 ISSN 2278-733X Mobile Based Monitoring of Driving Patterns Ashish Chaudhary1 Ashish Bajaj2 Nandan Shah3 and Neha Mankar4 Department of Computer Engineering‚ Sinhgad College of Engineering University of Pune‚ India Abstract -- India holds a highly uncertain variation of registering the highest number of road accidents in the world. In this paper‚ we propose a highly efficient system to monitor
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New Military Base There are many types of military bases; some have piers for ships and submarines‚ others have air strips for planes and others provide training for military members. A new military installation can provide employment opportunities for community members. A military base can increase the revenue generated by local businesses‚ create job opportunities for locals and even add revenue to our local government. A military base will be a good addition to the community. A new
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5. INTRODUCTION TO LINEAR PROGRAMMING (LP) Learning Objectives 1. Obtain an overview of the kinds of problems linear programming has been used to solve. 2. Learn how to develop linear programming models for simple problems. 3. Be able to identify the special features of a model that make it a linear programming model. 4. Learn how to solve two variable linear programming models by the graphical solution procedure. 5. Understand the importance of extreme points in
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Answers are hi-lighted yellow. Company A’s nationally advertised brand is Brand X. Contribution to profit with Brand X is $40 per case. Company A’s re-proportioned formula is sold under a private label Brand Y. Contribution to profit with Brand Y is $30 per case. Company A’s objective is to maximize the total contribution to profit. Three constraints limit the number of cases of Brand X and Brand Y that can be produced. Constraint 1: The available units of nutrient C (n) is 30. Constraint 2:
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