A dual ascent method for the portfolio selection problem with multiple constraints and linked proposals

Article Abstract:

Quadratic and integer programming methods, dual ascent and branch-and-bound, were used to solve portfolio selection problems with multiple constraints and linked proposals. The methodology successfully integrates all the constraints such as risk, return, contingency conditions, integer restrictions and multiple constraints, into a single procedure. Computational results reveal that the methodology can be applied to portfolio selection problems with independent investment returns and diagonal variance-covariance matrices.

Portfolio Management, Quadratic programming

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Progressive option bounds from the sequence of concurrently expiring options

Article Abstract:

Formulas for the tighter bounds that result from the addition of one and more co-expiring options on the underlying asset are provided. A simulation of the resultant tightening of the initial pricing bounds using only the underlying stock and bond, when a single additional option is introduced achieves the demonstration of the effectiveness of the approach.

Analysis, Arbitrage, Pricing policies

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An optimal hostage rescue problem

Article Abstract:

Some mathematical models for an optimal rescue problem concerning hostages are proposed. Two objectives namely, the minimization of the expected number of hostages being killed and the maximization of the probability of no hostage being killed, is considered.

Stochastic processes, Hostage negotiations

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