@TechReport{	  it:2005-042,
  author	= {Olof Sivertsson},
  title		= {Construction of Synthetic {CDO} Squared},
  institution	= {Department of Information Technology, Uppsala University},
  department	= {Computing Science Division},
  year		= {2005},
  number	= {2005-042},
  month		= dec,
  note		= {M.Sc. thesis},
  abstract	= {We present techniques used in the implementation of an
		  efficient constraint program for the portfolio optimization
		  (PO) problem. This important combinatorial problem in the
		  credit derivatives market arises for example when
		  constructing synthetic collateralized debt obligations
		  (CDOs) squared. A close relationship with the balanced
		  incomplete block design (BIBD) problem exists which we make
		  use of. Due to the large size of typical PO instances,
		  global solving is not possible, instead we embed and solve
		  sub-instances. The high quality of our approximate
		  solutions can be assessed by comparison with a tight lower
		  bound on the cost. Together with detection of BIBDs,
		  symmetry breaking, extended reuse of already solved
		  instances, and existence-checking during search, the
		  performance of the program becomes good enough for
		  constructing optimal portfolios of CDOs squared, with sizes
		  common in the credit derivatives market, within minutes or
		  seconds.}
}