Practical Financial Optimization

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Sprache: Englisch

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Beschreibung

This book gives a comprehensive account of financial optimization models used to support decision-making for financial engineers. It starts with the classical static mean-variance analysis and portfolio immunization, moves on to scenario-based models, and builds towards multi-period dynamic portfolio optimization. As the story unfolds the relationships between classes of models are revealed. Once the foundations are laid with several building blocks, and the broad landscape of financial optimization is charted, the book moves on to analyze several real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations. The math prerequisites are optimization with ODEs/matrix algebra.

Über den Autor

Stavros Zenios is Professor of Business and Public Administration at the University of Cyprus, Director of the HERMES European Center of Excellence on Computational Finance and Economics, and Senior Fellow at the Wharton Financial Institutions Center of the University of Pennsylvania. His previous books include Financial Optimization (1996); Parellel Optimization: Theory Algorithms, and Applications (1997); and Performance of Financial Institutions: Efficiency, Innovation, Regulation (2000).

Inhaltsverzeichnis

Foreword.

Preface.

Acknowledgements.

List of Models.

Notation.

I. Introduction.

1. An Optimization View of Financial Engineering.

2. Basics of Risk Management.

II. Portfolio Optimization Models.

3. Mean-Variance Analysis.

4. Portfolio Models for Fixed Income.

5. Scenario Optimization.

6. Dynamic Portfolio Optimization with Stochastic Programming.

7. Index Funds.

8. Designing Financial Products.

9. Scenario Generation.

III. Applications.

10. Application I: International Asset Allocation.

11. Application II: Corporate Bond Portfolios.

12. Application III: Insurance Policies with Guarantees.

13. Application IV: Personal Financial Planning.

IV. Library of Financial Optimization Models.

14. FINLIB: A Library of Financial Optimization Models

A. Basics of Optimization.

B. Basics of Probability Theory.

C. Stochastic Processes.

Bibliography.

Index.

Details

Erscheinungsjahr:	2008
Fachbereich:	Betriebswirtschaft
Genre:	Importe , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Inhalt:	Kartoniert / Broschiert
ISBN-13:	9781405132015
ISBN-10:	1405132019
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Zenios, Stavros A
Hersteller:	Wiley
Verantwortliche Person für die EU:	Libri GmbH, Europaallee 1, D-36244 Bad Hersfeld, gpsr@libri.de
Maße:	246 x 189 x 23 mm
Von/Mit:	Stavros A Zenios
Erscheinungsdatum:	01.02.2008
Gewicht:	0,831 kg

Artikel-ID: 132516469