Miss Selfridge

Optimization Methods in Finance (Mathematics, Finance and Risk) [Hardback]

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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Optimization Methods in Finance (Mathematics, Finance and Risk) [Hardback]Optimization Methods in Finance (Mathematics, Finance and Risk) [Hardback]

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EAN: 9781107056749

UPC: 9781107056749

ISBN: 9781107056749

MPN: N/A

Number of Pages: 348 Pages

Language: English

Publication Name: Optimization Methods in Finance

Publisher: Cambridge University Press

Item Height: 0.8 in

Subject: Finance / Financial Engineering, Applied

Publication Year: 2018

Features: Revised

Type: Textbook

Item Weight: 29.3 Oz

Author: Reha Tütüncü, Javier Peña, Gérard Cornuéjols

Item Length: 10 in

Subject Area: Mathematics, Business & Economics

Item Width: 7 in

Format: Hardcover

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