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 04069nam 22007335 450 001 9910254078803321 005 20250609111446.0 010 $a3-319-51829-1 024 7 $a10.1007/978-3-319-51829-9 035 $a(CKB)3710000001100884 035 $a(MiAaPQ)EBC4822606 035 $a(DE-He213)978-3-319-51829-9 035 $a(PPN)199767467 035 $a(MiAaPQ)EBC6237365 035 $a(EXLCZ)993710000001100884 100 $a20170314d2016 u| 0 101 0 $aeng 135 $aurcnu|||||||| 181 $2rdacontent 182 $2rdamedia 183 $2rdacarrier 200 10$aCombinatorics and Complexity of Partition Functions /$fby Alexander Barvinok 205 $a1st ed. 2016. 210 1$aCham :$cSpringer International Publishing :$cImprint: Springer,$d2016. 215 $a1 online resource (304 pages) $cillustrations 225 1 $aAlgorithms and Combinatorics,$x0937-5511 ;$v30 311 08$a3-319-51828-3 320 $aIncludes bibliographical references and index. 327 $aChapter I. Introduction -- Chapter II. Preliminaries -- Chapter III. Permanents -- Chapter IV. Hafnians and Multidimensional Permanents -- Chapter V. The Matching Polynomial -- Chapter VI. The Independence Polynomial -- Chapter VII. The Graph Homomorphism Partition Function -- Chapter VIII. Partition Functions of Integer Flows -- References -- Index. 330 $aPartition functions arise in combinatorics and related problems of statistical physics as they encode in a succinct way the combinatorial structure of complicated systems. The main focus of the book is on efficient ways to compute (approximate) various partition functions, such as permanents, hafnians and their higher-dimensional versions, graph and hypergraph matching polynomials, the independence polynomial of a graph and partition functions enumerating 0-1 and integer points in polyhedra, which allows one to make algorithmic advances in otherwise intractable problems. The book unifies various, often quite recent, results scattered in the literature, concentrating on the three main approaches: scaling, interpolation and correlation decay. The prerequisites include moderate amounts of real and complex analysis and linear algebra, making the book accessible to advanced math and physics undergraduates. . 410 0$aAlgorithms and Combinatorics,$x0937-5511 ;$v30 606 $aAlgorithms 606 $aCombinatorial analysis 606 $aComputer science?Mathematics 606 $aStatistical physics 606 $aDynamics 606 $aApproximation theory 606 $aMathematics of Algorithmic Complexity$3https://scigraph.springernature.com/ontologies/product-market-codes/M13130 606 $aCombinatorics$3https://scigraph.springernature.com/ontologies/product-market-codes/M29010 606 $aDiscrete Mathematics in Computer Science$3https://scigraph.springernature.com/ontologies/product-market-codes/I17028 606 $aComplex Systems$3https://scigraph.springernature.com/ontologies/product-market-codes/P33000 606 $aAlgorithms$3https://scigraph.springernature.com/ontologies/product-market-codes/M14018 606 $aApproximations and Expansions$3https://scigraph.springernature.com/ontologies/product-market-codes/M12023 615 0$aAlgorithms. 615 0$aCombinatorial analysis. 615 0$aComputer science?Mathematics. 615 0$aStatistical physics. 615 0$aDynamics. 615 0$aApproximation theory. 615 14$aMathematics of Algorithmic Complexity. 615 24$aCombinatorics. 615 24$aDiscrete Mathematics in Computer Science. 615 24$aComplex Systems. 615 24$aAlgorithms. 615 24$aApproximations and Expansions. 676 $a510 700 $aBarvinok$b Alexander$4aut$4http://id.loc.gov/vocabulary/relators/aut$0322075 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910254078803321 996 $aCombinatorics and complexity of partition functions$91523225 997 $aUNINA