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ePub Practical Financial Optimization: A Library of GAMS Models download

by Soren S Nielson,Andrea Consiglio

ePub Practical Financial Optimization: A Library of GAMS Models download
Author:
Soren S Nielson,Andrea Consiglio
ISBN13:
978-1405133715
ISBN:
1405133716
Language:
Publisher:
Wiley-Blackwell (February 1, 2010)
Category:
Subcategory:
Mathematics
ePub file:
1557 kb
Fb2 file:
1483 kb
Other formats:
rtf doc lrf mobi
Rating:
4.6
Votes:
794

by Soren S Nielson (Author) . This companion book thoroughly describes the actual implementation of the majority of the models developed in Practical Financial Optimization, in the General Algebraic Modelling System, GAMS.

by Soren S Nielson (Author), Andrea Consiglio (Author). Find all the books, read about the author, and more. Are you an author? Learn about Author Central. In addition, the volume contains executable versions of these models, and a CD containing the software needed to execute them.

Электронная книга "Practical Financial Optimization: A Library of GAMS Models", Soren S Nielson, Andrea Consiglio. Эту книгу можно прочитать в Google Play Книгах на компьютере, а также на устройствах Android и iOS. Выделяйте текст, добавляйте закладки и делайте заметки, скачав книгу "Practical Financial Optimization: A Library of GAMS Models" для чтения в офлайн-режиме.

ANDREA CONSIGLIO is professor of Mathematical Finance at the University of Palermo, Italy. He has held positions at the University of Calabria and at the University of Cyprus. His previous books include Practical Financial Optimization: Decision Making for Financial Engineers (Blackwell Publishing, 2007); Performance of Financial Institutions: Efficiency, Innovation, Regulation (Cambridge University Press, 2000); Parallel Optimization: Theory, Algorithms, and Applications (Oxford University Press, 1997); and Financial Optimization (Cambridge University Press, 1996).

A practical application of financial optimization problems and a library of a large number of financial optimization .

A practical application of financial optimization problems and a library of a large number of financial optimization models are presented in. This library contains several models such as the Markowitz mean-variance model, the mean absolute deviation model of Konno and Yamazaki, Sharpe's model and others. Solving Portfolio Optimization Problems Using AMPL.

Andrea Consiglio ebooks [Computational Modeling .

Andrea Consiglio ebooks. Thread starter Divonorum. Start date May 28, 2013. Andrea Consiglio,Soren Nielsen, Stavros Zenios - Practical Financial Optimization. A Library of GAMS Models. You must be registered for see images. In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System.

Practical Financial Optimization. To read this book, upload an EPUB or FB2 file to Bookmate. Give a Bookmate subscription →. About Bookmate.

Andrea Consiglio and Soren S Nielson.

In Practical Financial Optimization: A Library of GAMSModels, the authors provide a diverse set of models forportfolio optimization, based on the General Algebraic ModellingSystem. ‘GAMS’ consists of a language which allows ahigh-level, algebraic representation of mathematical models and aset of solvers – numerical algorithms – to solve them.The system was developed in response to the need for powerful andflexible front-end tools to manage large, real-life models.

The work begins with an overview of the structure of the GAMSlanguage, and discusses issues relating to the management of datain GAMS models. The authors provide models for mean-varianceportfolio optimization which address the question of trading offthe portfolio expected return against its risk. Fixed incomeportfolio optimization models perform standard calculations andallow the user to bootstrap a yield curve from bond prices.Dedication models allow for standard portfolio dedication withborrowing and re-investment decisions, and are extended to dealwith maximisation of horizon return and to incorporate variouspractical considerations on the portfolio tradeability.Immunization models provide for the factor immunization ofportfolios of treasury and corporate bonds.

The scenario-based portfolio optimization problem is addressedwith mean absolute deviation models, tracking models, regretmodels, conditional VaR models, expected utility maximizationmodels and put/call efficient frontier models. The authors employstochastic programming for dynamic portfolio optimization,developing stochastic dedication models as stochastic extensions ofthe fixed income models discussed in chapter 4. Two-stage andmulti-stage stochastic programs extend the scenario models analysedin Chapter 5 to allow dynamic rebalancing of portfolios as timeevolves and new information becomes known. Models for structuringindex funds and hedging interest rate risk on internationalportfolios are also provided.

The final chapter provides a set of ‘case studies’:models for large-scale applications of portfolio optimization,which can be used as the basis for the development of businesssupport systems to suit any special requirements, including modelsfor the management of participating insurance policies and personalasset allocation.

The title will be a valuable guide for quantitative developersand analysts, portfolio and asset managers, investment strategistsand advanced students of finance.