Practical financial optimization : decision making for financial engineers
著者
書誌事項
Practical financial optimization : decision making for financial engineers
Blackwell, 2007
- : hbk
- : pbk
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注記
Includes bibliographical references (p. [375]-392) and index
内容説明・目次
- 巻冊次
-
: hbk ISBN 9781405132008
内容説明
Practical Financial Optimization is a comprehensive guide to optimization techniques in financial decision making. This book illuminates the relationship between theory and practice, providing the readers with solid foundational knowledge.
Focuses on classical static mean-variance analysis and portfolio immunization, scenario-based models, multi-period dynamic portfolio optimization, and the relationships between classes of models
Analyizes real world applications and implications for financial engineers
Includes a list of models and a section on notations that includes a glossary of symbols and abbreviations
目次
Foreword: Harry M. Markowitz. Preface.
Acknowledgments.
Notation.
List of Models.
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. International Asset Allocation.
11. Corporate Bond Portfolios.
12. Insurance Policies with Guarantees.
13. Personal Financial Planning.
IV. Library of Financial Optimization Models.
14. FINLIB: A Library of Financial Optimization Models.
Bibliography.
Index
- 巻冊次
-
: pbk ISBN 9781405132015
内容説明
Practical Financial Optimization is a comprehensive guide to optimization techniques in financial decision making. This book illuminates the relationship between theory and practice, providing the readers with solid foundational knowledge.
Focuses on classical static mean-variance analysis and portfolio immunization, scenario-based models, multi-period dynamic portfolio optimization, and the relationships between classes of models
Analyizes real world applications and implications for financial engineers
Includes a list of models and a section on notations that includes a glossary of symbols and abbreviations
目次
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.
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