Some Applications of Symmetric Cone Programming in Financial Mathematics

نویسندگان

  • Ao Li
  • Levent Tunçel
چکیده

We review a few of the relavitely recent developments in cone programming that seem to have important applications in financial planning. In particular, we go over the semidefinite programming representation of a polynomial inequality as given by Nesterov. We mention some relevant references which show the power of cone programming in portfolio optimization. Then we turn to the recent work of Lobo et al. which showed how to use Second Order Cone Programs to model portfolio optimization problems with transaction costs. We extend their model to a multi-period decision making situation and we allow cash infusions into the portfolio every period. We conclude with some computational experiments using real data.

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تاریخ انتشار 2005