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: |
Table of Contents:
- 1. Overview of optimization models
- 2. Linear programming : theory and algorithms
- 3. Linear programming models : asset-liability management
- 4. Linear programming aodels : arbitrage and asset pricing
- 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
- 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
- 18. Conic programming : theory and algorithms
- 19. Robust optimization
- 20. Nonlinear programming : theory and algorithms
- A.1. Matrices and vectors
- A.2. Convex sets and convex functions
- A.3. Calculus of variations : the Euler equation.