عنوان

Optimization methods in finance /

شابک

1107297346

شابک

1107698898

شابک

9781107297340

شابک

9781107698895

شابک اشتباه

1107056748

شابک اشتباه

9781107056749

عنوان اصلي

Optimization methods in finance /

نام عام مواد

[Book]

نام نخستين پديدآور

Gérard Cornuéjols, Javier Peña, Reha Tütüncü.

وضعيت ويراست

Second edition.

محل نشرو پخش و غیره

New York, NY :

نام ناشر، پخش کننده و غيره

Cambridge University Press,

تاریخ نشرو بخش و غیره

[2018]

تاریخ نشرو بخش و غیره

©2018

نام خاص و کميت اثر

1 online resource (xii, 337 pages) :

ساير جزييات

illustrations

متن يادداشت

Includes bibliographical references and index.

متن يادداشت

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.

بدون عنوان

0

متن يادداشت

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 optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean-variance optimization, multi-period models, and additional material to highlight the relevance to finance.

عنوان

Optimization methods in finance.

شماره استاندارد بين المللي کتاب و موسيقي

9781107056749

موضوع مستند نشده

Finance-- Mathematical models.

موضوع مستند نشده

Mathematical optimization.

موضوع مستند نشده

Finance-- Mathematical models.

موضوع مستند نشده

Mathematical optimization.

شماره

ويراست

شماره رده

نشانه اثر

مستند نام اشخاص تاييد نشده

Cornuejols, Gerard,1950-

مستند نام اشخاص تاييد نشده

Peña, Javier Francisco,1967-

مستند نام اشخاص تاييد نشده

Tütüncü, Reha

تاريخ عمليات

20200822145734.0

قواعد فهرست نويسي ( بخش توصيفي )

pn

نام الکترونيکي

نوع ماده

[Book]

تكميل شده

Y