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There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
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In this talk we analyse the optimization model, due to Black (1976) , to identify worse-case scenarios for portafolios containing European futures and options. The model has box contraints but the objective function is nonlinear and likely not to be convex. However, in some cases the optimization model is convex and methods based in local minimum can be used.
We present a SQP method for medium-size portafolios to solve the model. Extensive numerical results for solving the instances arising from Mexican business corporations will be discussed.
BIOSKETCH
Zeferino Parada
Bachelor degree: Mathematics/ Universidad Nacional Autonoma de Mexico
Master degree: Mathematics / Universidad Nacional Autonoma de Mexico
Ph.D. : Rice University (Advisor: Richard Tapia)
Current: Associate Professor
Department of Mathematics
Instituto Tecnologico Autonomo de Mexico
Mexico City, Mexico
