Optimization Methods in Finance

By Giorgio Consigli. Quantitative finance (Print), 2019

122 citations recorded by the source corpus.

The article includes an independent, scholar review of a volume on Optimization in finance by Cambridge University Press.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/248861a4e9c668d703ca841818c0a9ec30e4ecec

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Stephen P. Boyd
2. Daniel J. Egger
3. Stefan Woerner

In Management Science and Operations Research

1. Alberto Bemporad
2. Stephen P. Boyd
3. Claudio Gambella
4. Francesco Borrelli

Citations in the corpus

• Quantum Computing for Finance: State-of-the-Art and Future Prospects (2020, background): “Convex optimization [80] is a subclass of continuous optimization problems, where the decision variables are continuous, and it has been advocated for a large variety of applications, amongwhich finance problems [81].”
• OSQP: an operator splitting solver for quadratic programs (2017, background): “Financial applications of (1) include portfolio optimization [13,15,20,67], [17, §4.4.1].”