Basket problems in margin calculation: Modelling and algorithms |
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| Affiliation: | 1. CNRS, Grenoble INP, G-SCOP, University of Grenoble Alpes, Grenoble 38000, France;2. CNRS, Centrale Lille, Inria, UMR 9189 - CRIStAL, University of Lille, Lille F-59000, France;3. INSA Lyon, DISP Laboratory EA 4570, University of Lyon, Villeurbanne F-69100, France;1. Shidler College of Business, University of Hawaii Manoa, Honolulu, HI 96822, USA;2. J. Mack Robinson College of Business, Georgia State University, Atlanta, GA 30302-3965.USA;3. Cambridge Digital Innovation, Hughes Hall, University of Cambridge, Cambridge CB1 2EW, UK;1. School of Economic Mathematics and Collaborative Innovation Center of Financial Security, Southwestern University of Finance and Economics, Chengdu 611130, China;2. School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu 611130, China;3. Department of Mathematics, Imperial College, London SW7 2BZ, UK;1. Bucknell University, Lewisburg, Pennsylvania;2. Center for Computing Research, Sandia National Laboratories, Albuquerque, New Mexico;3. Sandia National Laboratories, Albuquerque, New Mexico |
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| Abstract: | This paper considers combinatorial models and algorithms for the problems of constructing a basket of stock positions representing a capitalization-weighted market index for the purpose to be offset in the margin calculation by a position in other index products as index options, futures or participation units. We show how following the regulatory definition of the basket a 0–1 programming model of knapsack type can be obtained and how to develop the related efficient exact or approximation grab-the-basket algorithms. All approximations are supplied by the performance guarantee evaluations. |
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