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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

Optimizing portfolio liquidation under risk-based margin requirements

Deng, Geng; Dulaney, Tim; McCann, Craig - In: Journal of finance and investment analysis 2 (2013) 1, pp. 121-153

This paper incorporates risk-based margin requirements into portfolio liquidation procedures in a novel fashion. The approach is analytic and, as a result, more efficient than conventional numerical liquidation methods. The margin requirement calculation is a self-contained inner optimization...

Persistent link: https://www.econbiz.de/10009746034

A goal programming model for liquidity management : a case study

Zadeh, Mousa Ali Hossein; Khalili, Kamran - In: International journal of services and operations management 26 (2017) 3, pp. 332-346

Persistent link: https://www.econbiz.de/10011757871

Estimating an optimal macroeconomic uncertainty index for Australia

Kaya, Havvanur Feyza; Tawadros, George B. - In: Applied economics 54 (2022) 38, pp. 4374-4383

Persistent link: https://www.econbiz.de/10013410971

Optimal Quantitative Easing

Harrison, Richard - 2017

I study optimal monetary policy in a simple New Keynesian model with portfolio adjustment costs. Purchases of long-term debt by the central bank (quantitative easing; ‘QE') alter the average portfolio return and hence influence aggregate demand and inflation. The central bank chooses the...

Persistent link: https://www.econbiz.de/10012946995

Optimization of Constrained Liquidity Management

Tawfik, Maged - 2018

A consistent framework for optimal liquidity management is presented. This framework optimizes the cost of covering …, and adverse market impact are the major drivers of cost. The notion of a deployable liquidity resource, which is … subsequently extend to the notion of a dated liquidity strategy, is introduced. A formalization of LCR as a typical regulatory …

Persistent link: https://www.econbiz.de/10012932264

Will the Fed ever learn?

Kasa, Kenneth - In: Journal of macroeconomics 21 (1999) 2, pp. 279-292

Persistent link: https://www.econbiz.de/10001369045

Modernising intra-day liquidity optimisation for commercial banks

Feuillette, Jeremie; Towning, Will; Soramäki, Kimmo - In: Journal of digital banking 8 (2023) 1, pp. 58-64

Persistent link: https://www.econbiz.de/10014364593

A critical evaluation of the sensitivity of a bank's balance sheet to change when optimizing for capital requirements under Basel

Cronje, F.; Rooyen, J. H. van - In: Corporate ownership & control : international … 11 (2013/14) 1, pp. 102-116

Persistent link: https://www.econbiz.de/10011327510

A Simple Algorithm for Solving Ramsey Optimal Policy with Exogenous Forcing Variables

Chatelain, Jean-Bernard - 2019

This article presents an algorithm that extends Ljungqvist and Sargent's (2012) dynamic Stackelberg game to the case of dynamic stochastic general equilibrium models including forcing variables. Its first step is the solution of the discounted augmented linear quadratic regulator as in Hansen...

Persistent link: https://www.econbiz.de/10012901171