LEADER 05898nam 2200805Ia 450 001 9910139564103321 005 20200520144314.0 010 $a1-283-40693-4 010 $a9786613406934 010 $a0-470-74428-6 010 $a1-118-46718-3 010 $a1-4443-0223-X 035 $a(CKB)2550000000063595 035 $a(EBL)564897 035 $a(SSID)ssj0000566779 035 $a(PQKBManifestationID)11377873 035 $a(PQKBTitleCode)TC0000566779 035 $a(PQKBWorkID)10564946 035 $a(PQKB)11447253 035 $a(Au-PeEL)EBL564897 035 $a(CaPaEBR)ebr10510388 035 $a(CaONFJC)MIL340693 035 $a(CaSebORM)9781444317237 035 $a(MiAaPQ)EBC564897 035 $a(OCoLC)769189152 035 $a(EXLCZ)992550000000063595 100 $a20090313d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aPractical financial optimization$b[electronic resource] $ea library of GAMS models /$fAndrea Consiglio, Søren S. Nielsen, Stavros A. Zenios 205 $a1st edition 210 $aChichester, U.K. $cWiley$d2009 215 $a1 online resource (199 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a1-4443-1723-7 311 $a1-4051-3371-6 320 $aIncludes bibliographical references (p. [169]) and index. 327 $aPRACTICAL FINANCIAL OPTIMIZATION; Contents; Preface; Acknowledgments; Notation; List of Models; 1 An Introduction to the GAMS Modeling System; 1.1 Preview; 1.2 Basics of Modeling; 1.3 The GAMS Language; 1.3.1 Lexical conventions; 1.3.2 Sets; 1.3.3 Expressions, functions, and operators; 1.3.4 Assignment statements; 1.3.5 Variable declarations; 1.3.6 Constraints: Equation declarations; 1.3.7 Model declarations; 1.3.8 The SOLVE statement and model types; 1.3.9 Control structures; 1.3.10 Conditional compilation; 1.4 Getting Started; 1.4.1 The Integrated Development Environment 327 $a1.4.2 Command line interaction1.4.3 The model library; Notes and References; 2 Data Management; 2.1 Preview; 2.2 Basics of Data Handling; 2.2.1 Data entry: SCALARs, PARAMETERs, and TABLEs; 2.2.2 External data files: INCLUDE; 2.2.3 Output: DISPLAY and PUT; 2.3 Data Generation; 2.4 A Complete Example: Portfolio Dedication; 2.4.1 The source file; 2.4.2 The FINLIB files; 3 Mean-Variance Portfolio Optimization; 3.1 Preview; 3.2 Basics of Mean-Variance Models; 3.2.1 Data estimation for the mean-variance model; 3.2.2 Allowing short sales; 3.2.3 The FINLIB files; 3.3 Sharpe Ratio Model 327 $a3.3.1 Risk-free borrowing3.3.2 The FINLIB files; 3.4 Diversification Limits and Transaction Costs; 3.4.1 Transaction costs; 3.4.2 Portfolio revision; 3.4.3 The FINLIB files; 3.5 International Portfolio Management; 3.5.1 Implementation with dynamic sets; 3.5.2 The FINLIB files; 4 Portfolio Models for Fixed Income; 4.1 Preview; 4.2 Basics of Fixed-Income Modeling; 4.2.1 Modeling time; 4.2.2 GAMS as a financial calculator: continuous time; 4.2.3 Bootstrapping the term structure of interest rates; 4.2.4 Considerations for realistic modeling; 4.2.5 The FINLIB files; 4.3 Dedication Models 327 $a4.3.1 Horizon return model4.3.2 Tradeability considerations; 4.3.3 The FINLIB files; 4.4 Immunization Models; 4.4.1 The FINLIB files; 4.5 Factor Immunization Model; 4.5.1 Direct yield maximization; 4.5.2 The FINLIB files; 4.6 Factor Immunization for Corporate Bonds; 4.6.1 The model data sets; 4.6.2 The optimization models; 4.6.3 The FINLIB files; 5 Scenario Optimization; 5.1 Preview; 5.2 Data sets; 5.2.1 The FINLIB files; 5.3 Mean Absolute Deviation Models; 5.3.1 Downside risk and tracking models; 5.3.2 Comparing mean-variance and mean absolute deviation; 5.3.3 The FINLIB files 327 $a5.4 Regret Models5.4.1 The FINLIB files; 5.5 Conditional Value-at-Risk Models; 5.5.1 The FINLIB files; 5.6 Utility Maximization Models; 5.6.1 The FINLIB files; 5.7 Put/Call Efficient Frontier Models; 5.7.1 The FINLIB files; 6 Dynamic Portfolio Optimization with Stochastic Programming; 6.1 Preview; 6.2 Dynamic Optimization for Fixed-Income Securities; 6.2.1 Stochastic dedication; 6.2.2 Stochastic dedication with borrowing and lending; 6.2.3 The FINLIB files; 6.3 Formulating Two-Stage Stochastic Programs; 6.3.1 Deterministic and stochastic two-stage programs; 6.3.2 The FINLIB files 327 $a6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program 330 $aIn Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers - numerical algorithms - to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models. The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the manage 410 0$aWiley finance series. 606 $aFinancial engineering 606 $aFinance$xMathematical models 606 $aMathematical optimization 615 0$aFinancial engineering. 615 0$aFinance$xMathematical models. 615 0$aMathematical optimization. 676 $a332.01/5196 676 $a332.015196 686 $aQK 622$2rvk 686 $aQP 750$2rvk 686 $aWIR 680f$2stub 700 $aConsiglio$b Andrea$0908322 701 $aNielsen$b Søren S$0908323 701 $aZenios$b Stavros Andrea$0908324 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910139564103321 996 $aPractical financial optimization$92031493 997 $aUNINA LEADER 05922nam 22008415 450 001 9910299390803321 005 20200703161625.0 010 $a3-319-76855-7 024 7 $a10.1007/978-3-319-76855-7 035 $a(CKB)4100000004836417 035 $a(DE-He213)978-3-319-76855-7 035 $a(MiAaPQ)EBC5434962 035 $a(PPN)229497381 035 $a(EXLCZ)994100000004836417 100 $a20180622d2018 u| 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aAdvances in Indian Earthquake Engineering and Seismology $eContributions in Honour of Jai Krishna /$fedited by M. L. Sharma, Manish Shrikhande, H. R. Wason 205 $a1st ed. 2018. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2018. 215 $a1 online resource (XL, 431 p. 210 illus., 23 illus. in color.) 311 $a3-319-76854-9 327 $aPart I: Engineering Seismology -- Chapter1. Engineering Seismology -- Chapter2. Developments in Seismological Instrumentation -- Chapter3. Strong Motion Instrumentation Programme in India. Chapter4. Strong Motion Studies -- Chapter5. New Regression Relations for Magnitude Conversion -- Chapter6. Tsunami Hazard Assessment -- Part 2: Geotechnical Earthquake Engineering -- Chapter7. Recent Developments in Liquefaction, stability analysis of retaining structures, shallow foundations and pile foundations -- Chapter8. Seismic Analysis and Design of Retaining Walls and Shallow Foundations -- Chapter9. Ground Improvement for Mitigating Liquefaction Hazard -- Chapter10. Recent Advances in Soil Dynamics -- Part 3: Structural Dynamics -- Chapter11. Developments in Earthquake Resistant Design of Bridges -- Chapter12. Developments in Earthquake Resistant Design of Reinforced Concrete Buildings -- Chapter13. Earthquake Resistant Design of Masonry Buildings -- Chapter14. Developments in Seismic Analysis and Displacement Based Design -- Chapter15. A Template for the Earthquake Resistant Design Code -- Chapter16. System Identification in Structural Dynamics -- Chapter17. A Review of the Response Spectrum Method. 330 $aThis edited volume is an up-to-date guide for students, policy makers and engineers on earthquake engineering, including methods and technologies for seismic hazard detection and mitigation. The book was written in honour of the late Professor Jai Krishna, who was a pioneer in teaching and research in the field of earthquake engineering in India during his decades-long work at the University of Roorkee (now the Indian Institute of Technology Roorkee). The book comprehensively covers the historical development of earthquake engineering in India, and uses this background knowledge to address the need for current advances in earthquake engineering, especially in developing countries. After discussing the history and growth of earthquake engineering in India from the past 50 years, the book addresses the present status of earthquake engineering in regards to the seismic resistant designs of bridges, buildings, railways, and other infrastructures. Specific topics include response spectrum superposition methods, design philosophy, system identification approaches, retaining walls, and shallow foundations. Readers will learn about developments in earthquake engineering over the past 50 years, and how new methods and technologies can be applied towards seismic risk and hazard identification and mitigation. 606 $aNatural disasters 606 $aEnvironmental sciences 606 $aEngineering geology 606 $aEngineering?Geology 606 $aFoundations 606 $aHydraulics 606 $aBuildings?Design and construction 606 $aBuilding 606 $aConstruction 606 $aEngineering, Architectural 606 $aFire prevention 606 $aEnvironmental engineering 606 $aBiotechnology 606 $aNatural Hazards$3https://scigraph.springernature.com/ontologies/product-market-codes/G32000 606 $aEnvironmental Science and Engineering$3https://scigraph.springernature.com/ontologies/product-market-codes/G37000 606 $aGeoengineering, Foundations, Hydraulics$3https://scigraph.springernature.com/ontologies/product-market-codes/T23020 606 $aBuilding Construction and Design$3https://scigraph.springernature.com/ontologies/product-market-codes/T23012 606 $aFire Science, Hazard Control, Building Safety$3https://scigraph.springernature.com/ontologies/product-market-codes/T23130 606 $aEnvironmental Engineering/Biotechnology$3https://scigraph.springernature.com/ontologies/product-market-codes/U33000 615 0$aNatural disasters. 615 0$aEnvironmental sciences. 615 0$aEngineering geology. 615 0$aEngineering?Geology. 615 0$aFoundations. 615 0$aHydraulics. 615 0$aBuildings?Design and construction. 615 0$aBuilding. 615 0$aConstruction. 615 0$aEngineering, Architectural. 615 0$aFire prevention. 615 0$aEnvironmental engineering. 615 0$aBiotechnology. 615 14$aNatural Hazards. 615 24$aEnvironmental Science and Engineering. 615 24$aGeoengineering, Foundations, Hydraulics. 615 24$aBuilding Construction and Design. 615 24$aFire Science, Hazard Control, Building Safety. 615 24$aEnvironmental Engineering/Biotechnology. 676 $a551 702 $aSharma$b M. L$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aShrikhande$b Manish$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aWason$b H. R$4edt$4http://id.loc.gov/vocabulary/relators/edt 906 $aBOOK 912 $a9910299390803321 996 $aAdvances in Indian Earthquake Engineering and Seismology$92508577 997 $aUNINA