Abstract
The calculation of margin for investor's option accounts is a complex and costly problem for brokerage houses. The existing procedures usually involve a heuristic requiring sequential computations. These are shown to be inefficient and suboptimal. A simple transportation formulation is presented which permits a direct computation of minimum margin and shows considerable savings when compared with existing heuristic procedures.
Keywords
Margin (machine learning)ComputationHeuristicMathematical optimizationSimple (philosophy)Computer scienceMathematicsAlgorithmMachine learning
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Publication Info
- Year
- 1982
- Type
- article
- Volume
- 28
- Issue
- 12
- Pages
- 1368-1379
- Citations
- 28
- Access
- Closed
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Cite This
Andrew Rudd,
Mark Schroeder
(1982).
The Calculation of Minimum Margin.
Management Science
, 28
(12)
, 1368-1379.
https://doi.org/10.1287/mnsc.28.12.1368
Identifiers
- DOI
- 10.1287/mnsc.28.12.1368