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Cover: 9781107056749 | Optimization Methods in Finance | Reha Tütüncü | Buch | Englisch
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Optimization Methods in Finance
Buch von Gérard Cornuéjols (u. a.)
Sprache: Englisch

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Beschreibung
Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance
Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance
Über den Autor
Gérard Cornuéjols is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. He is a member of the National Academy of Engineering and has received numerous prizes for his research contributions in integer programming and combinatorial optimization, including the Lanchester Prize, the Fulkerson Prize, the Dantzig Prize, and the von Neumann Theory Prize.
Inhaltsverzeichnis
Part I. Introduction: 1. Overview of optimization models; 2. Linear programming: theory and algorithms; 3. Linear programming models: asset-liability management; 4. Linear programming models: arbitrage and asset pricing; Part II. Single-Period Models: 5. Quadratic programming: theory and algorithms; 6. Quadratic programming models: mean-variance optimization; 7. Sensitivity of mean-variance models to input estimation; 8. Mixed integer programming: theory and algorithms; 9. Mixed integer programming models: portfolios with combinatorial constraints; 10. Stochastic programming: theory and algorithms; 11. Stochastic programming models: risk measures; Part III. Multi-Period Models: 12. Multi-period models: simple examples; 13. Dynamic programming: theory and algorithms; 14. Dynamic programming models: multi-period portfolio optimization; 15. Dynamic programming models: the binomial pricing model; 16. Multi-stage stochastic programming; 17. Stochastic programming models: asset-liability management; Part IV. Other Optimization Techniques: 18. Conic programming: theory and algorithms; 19. Robust optimization; 20. Nonlinear programming: theory and algorithms; Appendix; References; Index.
Details
Erscheinungsjahr: 2018
Fachbereich: Kommunikationswissenschaften
Genre: Medienwissenschaften
Rubrik: Wissenschaften
Medium: Buch
Seiten: 350
ISBN-13: 9781107056749
ISBN-10: 1107056748
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Cornuéjols, Gérard
Peña, Javier
Tütüncü, Reha
Hersteller: Cambridge University Press
Maße: 250 x 175 x 23 mm
Von/Mit: Gérard Cornuéjols (u. a.)
Erscheinungsdatum: 09.08.2018
Gewicht: 0,786 kg
preigu-id: 112897076
Über den Autor
Gérard Cornuéjols is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. He is a member of the National Academy of Engineering and has received numerous prizes for his research contributions in integer programming and combinatorial optimization, including the Lanchester Prize, the Fulkerson Prize, the Dantzig Prize, and the von Neumann Theory Prize.
Inhaltsverzeichnis
Part I. Introduction: 1. Overview of optimization models; 2. Linear programming: theory and algorithms; 3. Linear programming models: asset-liability management; 4. Linear programming models: arbitrage and asset pricing; Part II. Single-Period Models: 5. Quadratic programming: theory and algorithms; 6. Quadratic programming models: mean-variance optimization; 7. Sensitivity of mean-variance models to input estimation; 8. Mixed integer programming: theory and algorithms; 9. Mixed integer programming models: portfolios with combinatorial constraints; 10. Stochastic programming: theory and algorithms; 11. Stochastic programming models: risk measures; Part III. Multi-Period Models: 12. Multi-period models: simple examples; 13. Dynamic programming: theory and algorithms; 14. Dynamic programming models: multi-period portfolio optimization; 15. Dynamic programming models: the binomial pricing model; 16. Multi-stage stochastic programming; 17. Stochastic programming models: asset-liability management; Part IV. Other Optimization Techniques: 18. Conic programming: theory and algorithms; 19. Robust optimization; 20. Nonlinear programming: theory and algorithms; Appendix; References; Index.
Details
Erscheinungsjahr: 2018
Fachbereich: Kommunikationswissenschaften
Genre: Medienwissenschaften
Rubrik: Wissenschaften
Medium: Buch
Seiten: 350
ISBN-13: 9781107056749
ISBN-10: 1107056748
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Cornuéjols, Gérard
Peña, Javier
Tütüncü, Reha
Hersteller: Cambridge University Press
Maße: 250 x 175 x 23 mm
Von/Mit: Gérard Cornuéjols (u. a.)
Erscheinungsdatum: 09.08.2018
Gewicht: 0,786 kg
preigu-id: 112897076
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