Recently, given the first few moments, tight upper and lower bounds of the no arbitrage prices can be obtained by solving semidefinite programming (SDP) or linear programming (LP) problems. In this paper, we compare SDP and LP formulations of the European-style options pricing problem and prefer...

We study a currency investment strategy, where we maximize the return on a portfolio of foreign currencies relative to any appreciation of the corresponding foreign exchange rates. Given the uncertainty in the estimation of the future currency values, we employ robust optimization techniques to...

We present a primal-dual interior-point method for constrained nonlinear, discrete minimax problems where the objective functions and constraints are not necessarily convex. The algorithm uses two merit functions to ensure progress toward the points satisfying the first-order optimality...

Portfolio optimization problems involving Value-at-Risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are further compounded when the portfolio...

Temporal networks describe workflows of time-consuming tasks whose processing order is constrained by precedence relations. In many cases, the durations of the network tasks can be influenced by the assignment of resources. This leads to the problem of selecting an ‘optimal’ resource...

Linear regression is widely-used in finance. While the standard method to obtain parameter estimates, Least Squares, has very appealing theoretical and numerical properties, obtained estimates are often unstable in the presence of extreme observations which are rather common in financial time...

We use co-evolutionary genetic algorithms to model the players' learning process in several Cournot models, and evaluate them in terms of their convergence to the Nash Equilibrium. The \social-learning" versions of the two co-evolutionary algorithms we introduce, establish Nash Equilibrium in...

An iterative algorithm for establishing the Nash Equilibrium in pure strategies (NE) is proposed and tested in Cournot Game models. The algorithm is based on the convergence of sequential best responses and the utilization of a genetic algorithm for determining each player's best response to a...

There is a large number of optimisation problems in theoretical and applied finance that are difficult to solve as they exhibit multiple local optima or are not ‘well- behaved’ in other ways (eg, discontinuities in the objective function). One way to deal with such problems is to adjust and...