TY - JOUR

T1 - Financial Applications of Semidefinite Programming: A Review and Call for Interdisciplinary Research

AU - Gepp, Adrian

AU - Harris, Geoffrey

AU - Vanstone, Bruce J

PY - 2019/9/27

Y1 - 2019/9/27

N2 - 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.

AB - 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.

U2 - 10.1111/acfi.12543

DO - 10.1111/acfi.12543

M3 - Article

JO - Accounting and Finance

JF - Accounting and Finance

SN - 0810-5391

ER -