This book gives a comprehensive account of financial optimization models usedto support decision-making for financial engineers. It starts with the classical static mean-variance analysis and portfolio immunization, moves on to scenario-based models, and builds towards multi-period dynamic portfolio optimization. As the story unfolds, the relationships between classes of models are revealed. Once the foundations are laid with several building blocks and the broad landscape of financial optimization is charted, the book moves on to analyseseveral real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations. The math prerequisite is optimization with matrix algebra. INDICE: Foreword: Harry M. MarkowitzPrefaceAcknowledgmentsNotationList of ModelsI. Introduction1. An Optimization View of Financial Engineering2. Basicsof Risk ManagementII. Portfolio Optimization Models3. Mean-Variance Analysis4. Portfolio Models for Fixed Income5. Scenario Optimization6. Dynamic Portfolio Optimization with Stochastic Programming7. Index Funds8. Designing FinancialProducts9. Scenario GenerationIII. Applications10. International Asset Allocation11. Corporate Bond Portfolios12. Insurance Policies with Guarantees13. Personal Financial PlanningIV. Library of Financial Optimization Models14. FINLIB: A Library of Financial Optimization ModelsBibliographyIndex MontseMa
- ISBN: 978-1-4051-3200-8
- Editorial: Blackwell
- Encuadernacion: Cartoné
- Páginas: 464
- Fecha Publicación: 01/01/2008
- Nº Volúmenes: 1
- Idioma: Inglés