Optimization of Investment Options Using SQL
نویسندگان
چکیده
This paper presents a novel use of SQL language to solve a practical optimization problem to find the portfolio size and the quantity of money for securities. This problem is known as the Portfolio Selection Problem (PSP). The approach was tested on 9 random instances of PSP. Each instance has up to 12 securities and 50 different choices of money. Each security follows a non-linear profit model. The limitations of our approach are bounded by the computer resources, given that potentially SQL constructs the Cartesian product of the investment options, but it has the advantages of not requiring complex structures and it is easy to understand.
منابع مشابه
Potentiometric of the Renewable Hybrid System for Electrification of Gorgor Station
In this paper, an optimal design of the renewable combustion plant has been investigated with the aim of ensuring the required load on the Gorgor station. The purpose of this study is to minimize the cost of the proposed hybrid unit during the period of operation of the designed system simultaneously. Information on the intensity of solar radiation and the intensity of wind blowing in the area ...
متن کاملContinuous time portfolio optimization
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
متن کاملSimulation and Optimization for Real Options Valuation
Real options valuation (ROV) considers the managerial flexibility to make ongoing decisions regarding implementation of investment projects and deployment of real assets. This paper introduces a simulation-optimization approach to valuing real investment options based on a model containing several decision variables and realistic stochastic inputs. Using this approach, the value of a portfolio ...
متن کاملCombination of real options and game-theoretic approach in investment analysis
Investments in technology create a large amount of capital investments by major companies. Assessing such investment projects is identified as critical to the efficient assignment of resources. Viewing investment projects as real options, this paper expands a method for assessing technology investment decisions in the linkage existence of uncertainty and competition. It combines the game-theore...
متن کاملComputing optimal subsidies for Iranian renewable energy investments using real options
For the valuation of the renewable energy investments, providing private investors with a financial incentive to accelerate their investment is a very significant issue. Financial subsidies are known by the majority of the people to be one of the most important drivers in renewable energy expansion and one of the main reasons which result in the development of any industry. In this paper, we pr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2010