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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Rustem, Berc
Autres auteurs: Howe, Melendres
Format: Électronique eBook
Langue:Inglés
Publié: Princeton, N.J. ; Oxford : Princeton University Press, ©2002.
Sujets:
Algorithms.
Risk management > Mathematics.
Algorithms
Algorithmes.
Gestion du risque > Mathématiques.
algorithms.
MATHEMATICS > General.
Risk management > Mathematics
Accès en ligne:Texto completo
Table des matières:
  • 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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