A Financial Optimization Model with Short Selling and Transfer of Securities
In this paper we present a financial mathematical model, based on networks, aiming at maximizing the profits while simultaneously minimizing the risk. In addition, our model is characterized by short selling, which consists in the sale of non-owned financial instruments with subsequent repurchase, and transfer of securities. We propose an Integer Nonlinear Programming (INLP) Problem, whose solution provides us with the optimal distribution of securities to be purchased and sold.
KeywordsFinancial problems Risk management Multicriteria decision-making Multi-period portfolio selection problems Short Selling Transfer of securities
The research of the authors was partially supported by the research project “Modelli Matematici nell’Insegnamento-Apprendimento della Matematica” DMI, University of Catania. This support is gratefully acknowledged.
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