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Parameterization of Threshold Accepting: The Case of Economic Capital Allocation

In: High Performance Computing in Science and Engineering ‘12

Author

Listed:
  • H.-P. Burghof

    (Universität Hohenheim, Lehrstuhl für Bankwirtschaft und Finanzdienstleistungen)

  • J. Müller

    (Universität Hohenheim, Lehrstuhl für Bankwirtschaft und Finanzdienstleistungen)

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.

Suggested Citation

  • H.-P. Burghof & J. Müller, 2013. "Parameterization of Threshold Accepting: The Case of Economic Capital Allocation," Springer Books, in: Wolfgang E. Nagel & Dietmar H. Kröner & Michael M. Resch (ed.), High Performance Computing in Science and Engineering ‘12, edition 127, pages 517-530, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-33374-3_37
    DOI: 10.1007/978-3-642-33374-3_37
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