Summary: Global Order�Value Optimization by means of a
multistart harmonic oscillator tunneling strategy
R. Andreani # J. M. Mart��nez + M. Salvatierra # F. Yano �
July 15, 2004
Abstract
The OVO (Order�Value Optimization) problem consists in the min�
imization of the order�value function f(x), defined by
f(x) = f i p (x) (x),
where
f i 1 (x) (x) # . . . # f i m (x) (x).
The functions f 1 , . . . , f m are defined
on# # IR n and p is an integer
between 1 and m.
When x is a vector of portfolio positions and f i (x) is the predicted
loss under the scenario i, the order�value function is the discrete Value�
at�Risk (VaR) function, which is largely used in risk evaluations.
The OVO problem is continuous but nonsmooth and, usually, has
many local minimizers. A local method with guaranteed convergence
# Department of Applied Mathematics, IMECC�UNICAMP, University of Campinas,
CP 6065, 13081�970 Campinas SP, Brazil. This author was supported by PRONEX�

Source: Andreani, Roberto - Instituto de Matem�tica, Estat�stica e Computa��o Cient�fica, Universidade Estadual de Campinas

Collections: Mathematics