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What is Global Optimization in Finance Models about?

This paper addresses global optimization in financial applications, focusing on portfolio selection with high-order moments and scenario generation. A new stochastic global optimization algorithm, an extension of the diffusion algorithm, is proposed to solve these non-convex, large-scale problems effectively. Initial numerical results demonstrate the feasibility of this approach in achieving global optimality for realistic financial models.

Author

sajedehjavadi3

Language

EN