A hybrid linear pricing model is developed using a min-max approach with a Lévy-frailty multivariate default model, ...

Portfolio optimisation and risk management form the bedrock of modern financial strategy, seeking to balance potential returns with manageable levels of risk. Building on the foundational work of ...

The portfolio optimization model has limited impact in practice because of estimation issues when applied to real data. To address this, we adapt two machine learning methods, regularization and cross ...

New technical documentation will help finance professionals leverage MIP technology for advanced portfolio optimization. For over 50 years, mathematical optimization has been a key technology for ...

This paper studies the dynamic portfolio choice problem with ambiguous jump risks in a multidimensional jump-diffusion framework. We formulate a continuoustime model of incomplete market with ...

BEAVERTON, Ore.--(BUSINESS WIRE)--Gurobi Optimization, LLC, the leader in decision intelligence technology, is pleased to announce the launch of a dedicated technical documentation resource (“Gurobi ...

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