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ISyE SEMINAR SERIES - From model to an optimization based investment system
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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.
Status
- Workflow Status: Published
- Created By: Barbara Christopher
- Created: 10/08/2010
- Modified By: Fletcher Moore
- Modified: 10/07/2016
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