Margining option portfolios by network flows.

Dmytro Matsypura Vadim G. Timkovsky

Published in: Networks (2012)

Keyphrases

network flow
minimum cost
linear programming
integer programming
optimization model
network flow problem
min cost
portfolio selection
option pricing
portfolio optimization
neural network
bipartite graph
linear program
particle swarm optimization
active learning
genetic algorithm
transaction costs
data sets