Parameterization of Threshold Accepting: The Case of Economic Capital Allocation

H.-P. Burghof () and J. Müller ()
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H.-P. Burghof: Universität Hohenheim, Lehrstuhl für Bankwirtschaft und Finanzdienstleistungen
J. Müller: Universität Hohenheim, Lehrstuhl für Bankwirtschaft und Finanzdienstleistungen

A chapter in High Performance Computing in Science and Engineering ‘12, 2013, pp 517-530 from Springer

Abstract: Abstract The corresponding model of economic capital allocation was described as a mixed integer nonlinear program (MINLP) in Burghof and Müller (Allocation of economic capital in banking: a simulation approach. In: Nagel WE, Kröner DB, Resch M (eds) High performance computing in science and engineering. Springer, 2011). In this context an appropriate solving algorithm in form of threshold accepting was introduced. Now we address the algorithm’s parameterization which is influenced by the model’s specific implementation of threshold accepting. Without discussing the implementation in detail, an impression of the parameterization’s handling and robustness in context with the model is given. On the basis of adequate parameterization the model provides a first indication of optimal economic capital allocation’s superiority compared to alternative allocation methods.

Keywords: Economic Capital Allocation; Acceptable Threshold; Alternative Allocation Methods; Mixed Integer Nonlinear Program (MINLP); Downside Risk Constraint (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-33374-3_37

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DOI: 10.1007/978-3-642-33374-3_37

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