Financial Applications of Semidefinite Programming: A Review and Call for Interdisciplinary Research

Adrian Gepp, Geoffrey Harris, Bruce J Vanstone

Research output: Contribution to journalArticleResearchpeer-review

Abstract

Optimisation problems in finance commonly have non‐linear constraints for which previous solutions have required unrealistic assumptions. However, many of these can be efficiently solved as semidefinite programming (SDP) problems, which have less restrictive assumptions. Through review of the literature that uses SDP in finance, two major research streams are identified: portfolio optimisation and option pricing. Nevertheless, many finance researchers are unaware of SDP. One possible reason is that this research is often published in non‐finance journals. This paper aims to better integrate the SDP research to promote wider use of current findings and further interdisciplinary research, particularly in environmental finance.
Original languageEnglish
Number of pages29
JournalAccounting and Finance
Early online date27 Sep 2019
DOIs
Publication statusE-pub ahead of print - 27 Sep 2019

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Finance
Interdisciplinary research
Semidefinite programming
Optimization problem
Option pricing
Portfolio optimization

Cite this

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Financial Applications of Semidefinite Programming: A Review and Call for Interdisciplinary Research. / Gepp, Adrian; Harris, Geoffrey; Vanstone, Bruce J.

In: Accounting and Finance, 27.09.2019.

Research output: Contribution to journalArticleResearchpeer-review

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