A Regularized Unconstrained Optimization in the Bond Portfolio Valuation and Hedging.
Yury GryazinMichael LandriganPublished in: World Congress on Engineering (Selected Papers) (2008)
Keyphrases
- unconstrained optimization
- option pricing
- real option
- transaction costs
- objective function
- constrained optimization
- penalty function
- optimization methods
- trust region
- nonlinear optimization
- risk minimization
- search methods
- line search
- portfolio selection
- gradient method
- least squares
- financial markets
- global optimum
- lower bound
- stock price
- starting points
- optimization problems
- genetic algorithm
- multi objective
- global optimization
- fitness function