Optimal partial hedging in a discrete-time market as a knapsack problem.
Peter LindbergPublished in: Math. Methods Oper. Res. (2010)
Keyphrases
- knapsack problem
- optimal solution
- dynamic programming
- maximum profit
- greedy heuristic
- implicit enumeration
- combinatorial optimization problems
- np hard
- decision variables
- optimization problems
- multidimensional knapsack problem
- production planning
- bicriteria
- financial markets
- exact algorithms
- linear programming relaxation
- greedy algorithm
- linear programming
- continuous relaxation
- evolutionary algorithm
- special case
- neural network
- stock price
- optimal control
- search algorithm
- randomly generated test instances