Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

(Romina) #1

192 Optimizing Optimization


Simplifying , and letting Δ  α γ  β 2 0,

vvvvv v^22222
22

12 2 2 2
210

()
()

γθ βθ βθ β θ βθ
βθ αθγθ

     
 (8.74)

or,


vv

(^2) γβαθ 20 ()Δ
(8.75)^
So that
v 
β 
γ
βαγ θγ
γ
(^2) Δ
(8.76)
Since ,
βαγ θγ
(^2)  Δ 0
(8.77)^
or
ΔΔθγ^0 (8.78)^
or
Δ()θγ−^10  (8.79)^
so that
θγ^1 (8.80)^
The solution for the upper part of the hyperbola is where v 
β
γ
and this
corresponds to:
v 
β 
γ
βαγ θγ
γ
(^2) Δ
(8.81)

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