Similar Search Results

Solving Discrete Zero Point Problems

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - Tinbergen Instituut - 2004

This discussion paper resulted in a publication in 'Mathematical Programming', ser. A, 2006, 108, 127-134. <P>

Persistent link: https://www.econbiz.de/10011256768

Combinatorial Integer Labeling Theorems on Finite Sets with an Application to Discrete Systems of Nonlinear Equations

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - Tinbergen Instituut - 2007

This discussion paper resulted in a publication in the 'Journal of Optimization Theory and Applications', 2010, 144 …

Persistent link: https://www.econbiz.de/10011257467

Numerically stable and accurate stochastic simulation approaches for solving dynamic economic models

Judd, Kenneth L.; Maliar, Lilia; Maliar, Serguei - In: Quantitative economics : QE ; journal of the … 2 (2011) 2, pp. 173-210

- lation algorithm (GSSA) in three applications: the standard representative - agent neoclassical growth model, a model with …

Persistent link: https://www.econbiz.de/10011756280

A Note on Price Instability in General Equilibrium

Levando, Dmitry - 2018

We are developing a theory of equilibrium market instability in a general equilibrium duopoly caused merely by …

Persistent link: https://www.econbiz.de/10012912107

Adjoints and Automatic (Algorithmic) Differentiation in Computational Finance

Homescu, Cristian - 2011

Two of the most important areas in computational finance: Greeks and, respectively, calibration, are based on efficient and accurate computation of a large number of sensitivities. This paper gives an overview of adjoint and automatic differentiation (AD), also known as algorithmic...

Persistent link: https://www.econbiz.de/10013125827

An Efficient Algorithm for the Calibration of Agent-Based Models Using Machine Learning

Zegadło, Piotr - 2020

A new algorithm for calibrating agent-based models is proposed, which employs a popular gradient boosting framework …

Persistent link: https://www.econbiz.de/10012839291

A Divide and Conquer Algorithm for Exploiting Policy Function Monotonicity

Gordon, Grey - 2017

A divide and conquer algorithm for exploiting policy function monotonicity is proposed and analyzed. To solve a … discrete problem with n states and n choices, the algorithm requires at most n log2(n) 5n objective function evaluations. In … algorithm exploiting monotonicity in two state variables allows for even more efficient solutions. The algorithm can also be …

Persistent link: https://www.econbiz.de/10012953080

Linear Algorithm for Portfolio Optimization with Third-Order Stochastic Dominance

Fang, Yi - 2018

transformation, we develop a linear algorithm of TSD. Furthermore, we refine the "superconvex" TSD of Post and Kopa (2017) and …

Persistent link: https://www.econbiz.de/10012911538

Machine Learning Optimization Algorithms & Portfolio Allocation

Perrin, Sarah - 2019

coordinate descent, the alternating direction method of multipliers, the proximal gradient method and the Dykstra's algorithm …

Persistent link: https://www.econbiz.de/10012866023

An Algorithm for Computing Risk Parity Weights

Spinu, Florin - 2020

This paper presents an efficient algorithm for computing the allocation weights of the risk parity portfolio (or the … more general risk budget portfolio) based on Newton's method. The algorithm is provably convergent, and in dimension < 1000 …

Persistent link: https://www.econbiz.de/10012857004