LEADER 04681nam 2200721 a 450 001 9910780200503321 005 20211001033051.0 010 $a1-68015-896-1 010 $a1-282-15719-1 010 $a9786612157196 010 $a1-4008-2511-3 010 $a1-4008-1460-X 024 7 $a10.1515/9781400825110 035 $a(CKB)111056486507890 035 $a(EBL)457720 035 $a(OCoLC)609845339 035 $a(SSID)ssj0000101102 035 $a(PQKBManifestationID)11122009 035 $a(PQKBTitleCode)TC0000101102 035 $a(PQKBWorkID)10037493 035 $a(PQKB)11119114 035 $a(DE-B1597)446453 035 $a(OCoLC)979881450 035 $a(DE-B1597)9781400825110 035 $a(Au-PeEL)EBL457720 035 $a(CaPaEBR)ebr10312543 035 $a(CaONFJC)MIL215719 035 $a(MiAaPQ)EBC457720 035 $a(PPN)170264815 035 $a(EXLCZ)99111056486507890 100 $a20040824d2002 uy 0 101 0 $aeng 135 $aurnn#---|u||u 181 $ctxt 182 $cc 183 $acr 200 10$aAlgorithms for worst-case design and applications to risk management$b[electronic resource] /$fBerc? Rustem, Melendres Howe 205 $aCourse Book 210 $aPrinceton, N.J. ;$aOxford $cPrinceton University Press$d2002 215 $a1 online resource (405 p.) 300 $aDescription based upon print version of record. 311 0 $a0-691-09154-4 320 $aIncludes bibliographical references and index. 327 $tFront matter --$tContents --$tPreface --$tChapter 1. Introduction to Minimax --$tChapter 2. A Survey Of Continuous Minimax Algorithms --$tChapter 3. Algorithms For Computing Saddle Points --$tChapter 4. A Quasi-Newton Algorithm For Continuous Minimax --$tChapter 5. Numerical Experiments With Continuous Minimax Algorithms --$tChapter 6 Minimax As A Robust Strategy For Discrete Rival Scenarios --$tChapter 7 Discrete Minimax Algorithm For Equality And Inequality Constrained Models --$tChapter 8. A Continuous Minimax Strategy For Options Hedging --$tChapter 9. Minimax and Asset Allocation Problems --$tChapter 10. Asset/Liability Management Under Uncertainty --$tChapter 11 Robust Currency Management --$tIndex 330 $aRecognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous--possibly infinite--and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions--which also offer the possibility of multiple maxima--ensures this optimality. Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values. Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management. 606 $aRisk management$xMathematical models 606 $aRisk$xMathematical models 606 $aDecision making$xMathematical models 606 $aAlgorithms 615 0$aRisk management$xMathematical models. 615 0$aRisk$xMathematical models. 615 0$aDecision making$xMathematical models. 615 0$aAlgorithms. 676 $a511.8 700 $aRustem$b Berc$0148147 701 $aHowe$b Melendres$0148148 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910780200503321 996 $aAlgorithms for worst-case design and applications to risk management$93802433 997 $aUNINA