Abstract
In this chapter, we shall study some applications of linear programming to problems in quantitative finance.
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Notes
- 1.
In this chapter, we assume a modest familiarity with the ideas and notations of probability: the symbol \(\mathbb{E}\) denotes expected value, which means that, if R is a random variable that takes values R(1), R(2), …, R(T) with equal probability, then
$$\displaystyle{\mathbb{E}R = \frac{1} {T}\sum _{t=1}^{T}R(t).}$$
Bibliography
Markowitz, H. (1959). Portfolio selection: Efficient diversification of investments. New York: Wiley.
Ruszczyński, A., and Vanderbei, R. (2003). http://www.princeton.edu/~rvdb/tex/lpport/lpport8.pdf Frontiers of stochastically nondominated portfolios. Econometrica, 71(4), 1287–1297.
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Vanderbei, R.J. (2014). Financial Applications. In: Linear Programming. International Series in Operations Research & Management Science, vol 196. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-7630-6_13
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DOI: https://doi.org/10.1007/978-1-4614-7630-6_13
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