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    Wyświetlanie 1-4 z 4
    Tytuł:
    Selection of lease contracts in an asset-backed securitization : a real case analysis
    Autorzy:
    Mansini, R.
    Speranza, M.
    Powiązania:
    https://bibliotekanauki.pl/articles/206882.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    programowanie liniowe
    investment
    lease contracts
    multidimensional knapsack problem
    securities trading
    securitization
    Opis:
    Asset-backed securities represent one of the most attractive financial novelties for institutional investors. More precisely, asset-backed securities are the output of a complex financial operation, so-called securitization, in which bonds are issued to finance a collection of assets in such a way that the bonds issue design is integrated with the funded assets. We consider a real case of securitization, in which the assets are lease contracts. Through the market issuance of tranches of notes a bank (seller) receives funds from a factor (purchaser) and pay them back in terms of pools of credits associated with lease contracts. In this paper we analyze the problem of selecting the most convenient collection of lease contracts (assets) for the seller to hand over to the purchaser. A 0-1 linear programming model is presented which is shown to be equivalent to a 0-1 Multidimensional Knapsack Problem. Heuristic solution procedures are proposed and computational results based on data from the discussed real case are presented.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 739-754
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Approximating the solution of a dynamic, stochastic multiple knapsack problem
    Autorzy:
    Hartman, J. C.
    Perry, T. C.
    Powiązania:
    https://bibliotekanauki.pl/articles/970874.pdf
    Data publikacji:
    2006
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    programowanie liniowe
    dualność
    stochastic dynamic programming
    approximate dynamic programming
    linear programming
    duality
    Opis:
    We model an environment where orders arrive probabilistically over time, with their revenues and capacity requirements becoming known upon arrival. The decision is whether to accept an order, receiving a reward and reserving capacity, or reject an order, freeing capacity for possible future arrivals. We model the dynamic, stochastic multiple knapsack problem (DSMKP) with stochastic dynamic programming (SDP). Multiple knapsacks are used as orders may stay in the system for multiple periods. As the state space grows exponentially in the number of knapsacks and the number of possible orders per period, we utilize linear programming and duality to quickly approximate the end-of-horizon values for the SDP. This helps mitigate end-of-study effects when solving the SDP directly, allowing for the solution of larger problems and leading to increased quality in solutions.
    Źródło:
    Control and Cybernetics; 2006, 35, 3; 535-550
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    A recursive procedure for selecting optimal portfolio according to the MAD model
    Autorzy:
    Michałowski, W.
    Ogryczak, W.
    Powiązania:
    https://bibliotekanauki.pl/articles/205763.pdf
    Data publikacji:
    1999
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    optymalizacja
    programowanie liniowe
    downside risk aversion
    investment
    linear programming
    portfolio optimization
    quadratic programming
    risk management
    Opis:
    The mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. Im a classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was proposed where risk is measured by (mean) absolute deviation instead of a variance. The MAD model is computationally attractive, since it is transformed into an easy to solve linear programming program. In this paper we poesent a recursive procedure which allows to identify optimal portfolio of the MAD model depending on investor's downside risk aversion.
    Źródło:
    Control and Cybernetics; 1999, 28, 4; 725-738
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Parallel approaches to parametric optimization and the convergence of interactive decision support
    Autorzy:
    Wierzbicki, A.
    Powiązania:
    https://bibliotekanauki.pl/articles/205708.pdf
    Data publikacji:
    2000
    Wydawca:
    Polska Akademia Nauk. Instytut Badań Systemowych PAN
    Tematy:
    matematyka obliczeniowa
    optymalizacja
    optymalizacja parametryczna
    programowanie liniowe
    programowanie nieliniowe
    przetwarzanie równoległe
    teoria algorytmów
    interactive decision support
    optimization
    parallel computations
    Opis:
    In the perspective of parallel processing, a new sense of parametric optimization might be promoted. The paper shows that it, is possible to propose new parallel versions of basic optimization algorithms, as well as an advanced method of securing convergence in interactive mnltiobjective optimization and decision support, all based on a modified concept of parametric embedding. This general idea is exemplified for the case of the simplex algorithm of linear programming by a parameterized and coarse-grain parallel augmented simplex algorithm, where a linear optimization problem can be embedded into a multiple-ohjective family which introduces diversified directions of search cutting through the interior of the original admissible set. For the case of nonlinear programming, a parameterized and coarse-grain parallel variable metric pulsar algorithm is shortly presented, where parallel directional searches are combined with a parametrized variable metric to produce a pulsating, robust nonliear programming algorithm. These two examples concern very basic optimization tools ; at the other end of the spectrmn of optimization-related methods, a general method called outranking trials of securing convergence of interactive multiobjective optimization and decision suport is obtained through parameterizing an outranking relation and using basic properties of order-consistent achievement functions in reference point methodology for testing the existence of outranking points by parallel optimization runs. Thus, the paper presents the use of parallel processing to solve a wide range of modified parametric embedding problems related to optimization and decision support.
    Źródło:
    Control and Cybernetics; 2000, 29, 1; 427-444
    0324-8569
    Pojawia się w:
    Control and Cybernetics
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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