Applications of polynomial optimization in financial risk investment

2017 3rd International Conference on Applied Materials and Manufacturing Technology

Zeng, Meilan^1 ; Fu, Hongwei^1

College of Mathematics and Statistics, Hubei Engineering University, Xiaogan, Hubei

432000, China^1

关键词: Financial economics;    Financial optimizations;    Financial risks;    Mean variance;    Polynomial optimization;    Risk measurement;    Semi-definite programming;    Transaction cost;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/242/1/012076/pdf
DOI  :  10.1088/1757-899X/242/1/012076

来源: IOP

【 摘 要 】

Recently, polynomial optimization has many important applications in optimization, financial economics and eigenvalues of tensor, etc. This paper studies the applications of polynomial optimization in financial risk investment. We consider the standard mean-variance risk measurement model and the mean-variance risk measurement model with transaction costs. We use Lasserre's hierarchy of semidefinite programming (SDP) relaxations to solve the specific cases. The results show that polynomial optimization is effective for some financial optimization problems.