LEADER 06243nam 2200937Ia 450 001 9910817099803321 005 20200520144314.0 010 $a9786613406934 010 $a9781283406932 010 $a1283406934 010 $a9780470744284 010 $a0470744286 010 $a9781118467183 010 $a1118467183 010 $a9781444302233 010 $a144430223X 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(OCoLC)769189152 035 $a(CaSebORM)9781444317237 035 $a(MiAaPQ)EBC564897 035 $a(OCoLC)816351251 035 $a(OCoLC)ocn816351251 035 $a(Perlego)1006630 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 $ea library of GAMS models /$fAndrea Consiglio, Sren 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 $aDescription based upon print version of record. 311 08$a9781444317237 311 08$a1444317237 311 08$a9781405133715 311 08$a1405133716 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. 517 3 $aLibrary of GAMS models 517 3 $aLibrary of General Algebraic Modeling System models 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$01639971 701 $aNielsen$b Sren S$01639972 701 $aZenios$b Stavros Andrea$0908324 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910817099803321 996 $aPractical financial optimization$93983301 997 $aUNINA