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NAG, optimization and finance - part 1

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Uploaded on Jun 10, 2011

This is part 1 of a talk on using the NAG Library for optimizing financial portfolios that briefly introduces optimization and illustrates the importance of choosing the appropriate algorithm by using the so-called Rosenbrock function as a test case. A MATLAB demo that calls a NAG routine is used to illustrate this point by comparing its results to those obtained from using a simpler but less sophisticated algorithm.

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