Optimization Methods in Finance (Mathematics, Finance and Risk)

Description: Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance Part I Introduction: 1 Overview of optimization models; 2 Linear programming: theory and algorithms; 3 Linear programming models: asset-liability management; 4 Linear programming models: arbitrage and asset pricing; Part II Single-Period Models: 5 Quadratic programming: theory and algorithms; 6 Quadratic programming models: mean-variance optimization; 7 Sensitivity of mean-variance models to input estimation; 8 Mixed integer programming: theory and algorithms; 9 Mixed integer programming models: portfolios with combinatorial constraints; 10 Stochastic programming: theory and algorithms; 11 Stochastic programming models: risk measures; Part III Multi-Period Models: 12 Multi-period models: simple examples; 13 Dynamic programming: theory and algorithms; 14 Dynamic programming models: multi-period portfolio optimization; 15 Dynamic programming models: the binomial pricing model; 16 Multi-stage stochastic programming; 17 Stochastic programming models: asset-liability management; Part IV Other Optimization Techniques: 18 Conic programming: theory and algorithms; 19 Robust optimization; 20 Nonlinear programming: theory and algorithms; Appendix; References; Index

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Location: Hillsdale, NSW

End Time: 2024-10-18T23:23:44.000Z

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