Optimization methods in finance / Gérard Cornuéjols, Javier Peña, Reha Tütüncü.
Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimizati...
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| Online Access: |
Full Text (via Cambridge) |
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| Main Authors: | , , |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge, United Kingdom ; New York, NY :
Cambridge University Press,
[2018]
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| Edition: | Second edition. |
| Subjects: |