Design of Financial CDO Squared Transactions Using Constraint Programming

@article{Flener2006DesignOF,
  title={Design of Financial CDO Squared Transactions Using Constraint Programming},
  author={Pierre Flener and Justin Pearson and Luis G. Reyna and Olof Sivertsson},
  journal={Constraints},
  year={2006},
  volume={12},
  pages={179-205}
}
We give an approximate and often extremely fast method of building a particular kind of portfolio in finance, here called a portfolio design (PD), with applications in the credit derivatives market, for example when designing collateralised debt obligations squared (CDO2) transactions. A PD generalises a balanced incomplete block design (BIBD) and is usually harder to build. Worse, typical financial PDs are an order of magnitude larger than the largest BIBDs built so far by constraint programs… 

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