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- Blomvall, Jörgen, 1974-, et al.
(författare)
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Back-testing the performance of an actively managed option portfolio at the Swedish Stock Market, 1990–1999
- 2003
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Ingår i: Journal of Economic Dynamics and Control. - Amsterdam, Netherlands : Elsevier. - 0165-1889 .- 1879-1743. ; 27:6, s. 1099-1112
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Tidskriftsartikel (refereegranskat)abstract
- We build an investment model based on Stochastic Programming. In the model we buy at the ask price and sell at the bid price. We apply the model to a case where we can invest in a Swedish stock index, call options on the index and the risk-free asset. By reoptimizing the portfolio on a daily basis over a ten-year period, it is shown that options can be used to create a portfolio that outperforms the index. With ex post analysis, it is furthermore shown that we can create a portfolio that dominates the index in terms of mean and variance, i.e. at given level of risk we could have achieved a higher return using options.
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| 2. |
- Daneva, Maria, 1974-, et al.
(författare)
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A Conjugate Direction Frank-Wolfe Method with Applications to the Traffic Assignment Problem
- 2003
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Ingår i: Operations Research Proceedings 2002: Selected Papers of the International Conference on Operations Research (SOR 2002), Klagenfurt, September 2-5, 2002". - : Springer. - 9783642555374 - 3540003878 ; , s. -550
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Bokkapitel (övrigt vetenskapligt/konstnärligt)abstract
- This proceedings volume contains a selection of papers presented at the International Conference on Operations Research (SOR 2002).The contributions cover the broad interdisciplinary spectrum of Operations Research and present recent advances in theory, development of methods, and applications in practice. Subjects covered are Production, Logistics and Supply Chain Production, Marketing and Data Analysis, Transportation and Traffic, Scheduling and Project Management, Telecommunication and Information Technology, Energy and Environment, Public Economy, Health, Agriculture, Education, Banking, Finance, Insurance, Risk Management, Continuous Optimization, Discrete and Combinatorial Optimization, Stochastic and Dynamic Programming, Simulation, Control Theory, Systems Dynamics, Dynamic Games, Game Theory, Auctioning and Bidding, Experimental Economics, Econometrics, Statistics and Mathematical Economics, Fuzzy Logic, Multicriteria Decision Making, Decision Theory.
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| 5. |
- Holmgren, Johan, et al.
(författare)
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Upright Stiff : subproblem updating in the FW method for traffic assignment
- 2013
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Ingår i: EURO Journal on Transportation and Logistics. - : Springer Berlin/Heidelberg. - 2192-4376 .- 2192-4384.
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Tidskriftsartikel (refereegranskat)abstract
- We present improvements of the Frank–Wolfe (FW) method for static vehicular traffic and telecom routing. The FW method has been the dominating method for these problem types, but due to its slow asymptotic convergence it has been considered dead by methods oriented researchers. However, the recent introduction of conjugate FW methods has shown that it is still viable, and in fact the winner on multi-core computers. In this paper, we show how to speed up the FW iterations, by updating the subproblems in the FW method, instead of solving them from scratch. The subproblem updating is achieved by viewing the subproblems as network flow problems with a threaded representation of the shortest path trees. In addition, we introduce a new technique, thread following, implying that a single traversal of the thread is enough to find a new shortest path tree. Our computational tests show that very few nodes in practice are visited more than once when searching for improving arcs. Moreover, we update also the all-or-nothing solutions of the subproblems, resulting in significantly reduced loading times. For a set of standard test problems, we observe speedups in the region of 25–50 % for the subproblem updating FW method, compared to the traditional non-updating version. We typically achieve higher speedups for more difficult problems and converged solutions.
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| 6. |
- Kiwiel, Krzysztof C., et al.
(författare)
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Lagrangian relaxation via ballstep subgradient methods
- 2007
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Ingår i: Mathematics of Operations Research. - : Institute for Operations Research and the Management Sciences (INFORMS). - 0364-765X .- 1526-5471. ; 32:3, s. 669-686
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Tidskriftsartikel (refereegranskat)abstract
- We exhibit useful properties of ballstep subgradient methods for convex optimization using level controls for estimating the optimal value. Augmented with simple averaging schemes, they asymptotically find objective and constraint subgradients involved in optimality conditions. When applied to Lagrangian relaxation of convex programs, they find both primal and dual solutions, and have practicable stopping criteria. Up until now, similar results have only been known for proximal bundle methods, and for subgradient methods with divergent series stepsizes, whose convergence can be slow. Encouraging numerical results are presented for large-scale nonlinear multicommodity network flow problems. ©2007 INFORMS.
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| 8. |
- Lindberg, Per Olov, 1942-
(författare)
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Aspects of Static Multi-Class Traffic equilibria under Congestion Pricing
- 2010
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Licentiatavhandling (övrigt vetenskapligt/konstnärligt)abstract
- Congestion charging is a now accepted means of influencing traffic to behave in a more socio-economic optimal way, like e.g. in the Stockholm project. Already early work, in the 1920’s, showed that road use can be inefficient due externalities, i.e. that users don’t experience their own (negative) effect on other users: an extra car on a traffic link causes delays for other cars, but the driver himself does not experience this cost.In the 1950’s it was further shown - for a congested road network with homogeneous users – that if each user is charged a toll equal to the total value of time loss incurred on other users of the network, then -if we have fixed travel demand - this will induce an equilibrium that is system optimal in the sense that the total cost of network usage is minimal (assuming that all users have fixed and identical time values). But toll charges need to be levied in monetary units, and different travelers have different values of time. Therefore, to account for the effects of tolls, and to be able to compute equilibria, one needs to introduce different user classes, differing in their time values.In this thesis, consisting of four papers, we study congestion pricing of road networks with users differing only in their time values. In particular, we analyze marginal social cost (MSC) pricing, a tolling scheme that charges each user a penalty corresponding to the value of the delays inflicted on other users, as well as its implementation through fixed tolls.Paper III contains the main theoretical work of the thesis. In that paper we show that the variational inequalities characterizing the equilibria in question can be stated in symmetric or non-symmetric forms. The symmetric forms correspond to optimization problems, convex in the fixed-toll case and non-convex in the MSC case, which hence may have multiple equilibria. The objective of the latter problem is the total value of travel time, which thus is minimized at the global optima of that problem. Implementing close-to-optimal MSC tolls as fixed tolls leads to equilibria with possibly non-unique class specific flows, but with identical close-to-optimal values of the total value of travel time. Finally we give an adaptation, to the MSC setting, of the Frank-Wolfe algorithm, which is further applied to some test cases, including Stockholm.Paper I is an early application using Frank-Wolfe, after having realized the possibility to symmetrize the problem.Paper II gives a convexification of non-convex equilibrium problem for MSC tolls. We have used these convexifications to compute lower bounds when computing equilibria.Paper IV is a short note commenting some flaws in two papers by Dial on MSC tolls.
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