Practical Financial Optimization : a Library of GAMS Models.

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Optimization is concerned with the representation and solution of models. Models can be represented in a number of ways, and they can be solved using a number of methods or algorithms. The General Algebraic Modeling System, GAMS, is a system for formulating and solving optimization models. It consis...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Zenios, Stavros A.
Otros Autores: Nielson, Soren S., Consiglio, Andrea
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken : John Wiley & Sons, 2009.
Temas:
Financial engineering.
Finance > Mathematical models.
Mathematical optimization.
Ingénierie financière.
Finances > Modèles mathématiques.
Optimisation mathématique.
Finance > Mathematical models
Financial engineering
Mathematical optimization
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Title Page; Copyright Page; Dedication; Preface; Acknowledgements; Notation; Chapter 1
  • An Introduction to the GAMS Modeling System; Chapter 2
  • Data Management; Chapter 3
  • Mean-Variance Portfolio Optimization; Chapter 4
  • Portfolio Models for Fixed Income; Chapter 5
  • Scenario Optimization; Chapter 6
  • Dynamic Portfolio Optimization with Stochastic Programming; Chapter 7
  • Index Funds; Chapter 8
  • Case Studies in Financial Optimization; Bibliography; Index.

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