ISyE SEMINAR SERIES - From model to an optimization based investment system

Event Details
  • Date/Time:
    • Thursday April 24, 2003
      11:00 am - 12:00 am
  • Location: IC 213
  • Phone:
  • URL:
  • Email:
  • Fee(s):
    N/A
  • Extras:
Contact
Barbara Christopher
Industrial and Systems Engineering
Contact Barbara Christopher
404.385.3102
Summaries

Summary Sentence: ISyE SEMINAR SERIES - From model to an optimization based investment system

Full Summary: ISyE SEMINAR SERIES - From model to an optimization based investment system

To implement an optimization based investment system for a derivative
portfolio several components are necessary. We will take a look at the components that was used to implement OptRet. Topics that we will cover are choice of objective function, optimization model, modeling language, solver, interface and preliminary results. A brief overview of the interior point solver and its properties will be given. We will discuss two versions of a new modeling language. The earlier version
has syntax similar to AMPL, with extensions to stochastic programming, and the later version will be a general open source modeling language with similar flexibility as AMPL.

Additional Information

In Campus Calendar
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Groups

H. Milton Stewart School of Industrial and Systems Engineering (ISYE)

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Seminar/Lecture/Colloquium
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Status
  • Created By: Barbara Christopher
  • Workflow Status: Published
  • Created On: Oct 8, 2010 - 7:42am
  • Last Updated: Oct 7, 2016 - 9:52pm