Algorithms for Worst-Case Design and Applications to Risk Management /

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Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve furth...

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Detalles Bibliográficos
Autor principal: Rustem, Berc
Otros Autores: Howe, Melendres
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Oxford : Princeton University Press, 2002.
Colección:Book collections on Project MUSE.
Temas:
Risk management > Mathematics.
Algorithms.
MATHEMATICS > General.
algorithms.
Gestion du risque > Mathematiques.
Algorithmes.
Algorithms
Electronic books.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Contents; Preface; Chapter 1. Introduction to minimax; Chapter 2. A survey of continuous minimax algorithms; Chapter 3. Algorithms for computing saddle points; Chapter 4. A quasi-Newton algorithm for continuous minimax; Chapter 5. Numerical experiments with continuous minimax algorithms; Chapter 6. Minimax as a robust strategy for discrete rival scenarios; Chapter 7. Discrete minimax algorithm for nonlinear equality and inequality constrained models; Chapter 8. A continuous minimax strategy for options hedging; Chapter 9. Minimax and asset allocation problems.
  • Chapter 10. Asset/liability management under uncertaintyChapter 11. Robust currency management; Index.

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