The techniques of linear programming are designed for optimization problems involving linear cost or fitness functions, and linear constraints on the parameters or input variables.
Linear programming is typically used to solve resource allocation problems.
In the world of trading, one use of linear programming might be to allocate capital among a set of investments to maximize net profit.
If risk adjusted profit is to be optimized, linear programming methods cannot be used:
Risk-adjusted profit is not a linear function of the amount of capital allocated to each of the investments; in such instances, other techniques (e.g., genetic algorithms) must be employed.
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