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Optimization methods in finance / Gerard Cornuejols, Reha Tutuncu
| Optimization methods in finance / Gerard Cornuejols, Reha Tutuncu |
| Autore | Cornuejols, Gerard |
| Pubbl/distr/stampa | Cambridge, UK ; New York : Cambridge University Press, 2007 |
| Descrizione fisica | xii, 345 p. : ill. ; 26 cm |
| Disciplina | 332.015196 |
| Altri autori (Persone) | Tutuncu, Rehaauthor |
| Collana | Mathematics, finance, and risk |
| Soggetto topico |
Finance - Mathematical models
Ottimizzazione |
| ISBN |
0521861705
9780521861700 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991002408439707536 |
Cornuejols, Gerard
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| Cambridge, UK ; New York : Cambridge University Press, 2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Practical financial optimization [[electronic resource] ] : a library of GAMS models / / Andrea Consiglio, Søren S. Nielsen, Stavros A. Zenios
| Practical financial optimization [[electronic resource] ] : a library of GAMS models / / Andrea Consiglio, Søren S. Nielsen, Stavros A. Zenios |
| Autore | Consiglio Andrea |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2009 |
| Descrizione fisica | 1 online resource (199 p.) |
| Disciplina |
332.01/5196
332.015196 |
| Altri autori (Persone) |
NielsenSøren S
ZeniosStavros Andrea |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Financial engineering
Finance - Mathematical models Mathematical optimization |
| ISBN |
1-283-40693-4
9786613406934 0-470-74428-6 1-118-46718-3 1-4443-0223-X |
| Classificazione |
QK 622
QP 750 WIR 680f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
PRACTICAL 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
1.4.2 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 3.3.1 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 4.3.1 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 5.4 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 6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program |
| Record Nr. | UNINA-9910139564103321 |
|
Consiglio Andrea
|
||
| Chichester, U.K., : Wiley, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Practical financial optimization : a library of GAMS models / / Andrea Consiglio, Sren S. Nielsen, Stavros A. Zenios
| Practical financial optimization : a library of GAMS models / / Andrea Consiglio, Sren S. Nielsen, Stavros A. Zenios |
| Autore | Consiglio Andrea |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Chichester, U.K., : Wiley, 2009 |
| Descrizione fisica | 1 online resource (199 p.) |
| Disciplina |
332.01/5196
332.015196 |
| Altri autori (Persone) |
NielsenSren S
ZeniosStavros Andrea |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Financial engineering
Finance - Mathematical models Mathematical optimization |
| ISBN |
1-283-40693-4
9786613406934 0-470-74428-6 1-118-46718-3 1-4443-0223-X |
| Classificazione |
QK 622
QP 750 WIR 680f |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
PRACTICAL 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
1.4.2 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 3.3.1 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 4.3.1 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 5.4 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 6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program |
| Record Nr. | UNINA-9910817099803321 |
|
Consiglio Andrea
|
||
| Chichester, U.K., : Wiley, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||