23 citations
2 papers
math.CO2013★ 23 cited
On the extension complexity of combinatorial polytopes
David Avis, Hans Raj Tiwary
In this paper we extend recent results of Fiorini et al. on the extension complexity of the cut polytope and related polyhedra. We first describe a lifting argument to show exponen…
q-fin.PR2012
Optimal hedging in discrete time
Bruno Rémillard, Sylvain Rubenthaler
Building on the work of Schweizer (1995) and Cern and Kallseny (2007), we present discrete time formulas minimizing the mean square hedging error for multidimensional assets. In pa…