Challenges in Financial Computing

نویسندگان

  • Martin B. Haugh
  • Andrew W. Lo
چکیده

One of the fastest growing areas of scienti c computing is in the nancial industry. Many of the most basic problems in nancial analysis are still unsolved, and are surprisingly resilient to the onslaught of legions of talented researchers from many diverse disciplines. In this article, we hope to give readers a sense of these challenges by describing a relatively simple problem that all investors face|managing a portfolio of nancial securities over time to optimize a particular objective function|and showing how complex such a problem can become as real-world considerations such as taxes, preferences, and portfolio constraints are incorporated into its formulation. This research was partially supported by the MIT Laboratory for Financial Engineering. MIT Sloan School of Management and Operations Research Center. Corresponding author: Andrew W. Lo, 50 Memorial Drive, E52-432, Cambridge, MA 02142{1347, (617) 253{0920 (voice), (617) 258{5727 (fax), [email protected] (email).

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تاریخ انتشار 2001