Financial Applications

  • Robert J. Vanderbei
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 114)


In this chapter, we shall study some applications of linear programming to problems in quantitative finance.


Stock Price Option Price Linear Programming Problem Portfolio Selection Call Option 
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  1. Markowitz, H. (1959), Portfolio Selection: Efficient Diversification of Investments, Wiley, New York.Google Scholar
  2. Ruszczyński, A. & Vanderbei, R. (2003), Frontiers of Stochastically Nondominated Portfolios’, Econometrica 71(4), 1287–1297.MATHCrossRefMathSciNetGoogle Scholar

Copyright information

© Robert J.Vanderbei 2008

Authors and Affiliations

  • Robert J. Vanderbei
    • 1
  1. 1.Dept. of Operations Research and Financial EngineeringPrinceton UniversityNew JerseyUSA

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