Practical financial optimization: decision making for financial engineers

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. It 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. It analyzes real world applications and implications for financial engineers. It includes a list of models and a section on notations that includes a glossary of symbols and abbreviations. INDICE: 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: InternationalAsset 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 Libraryof Financial Optimization Models

• ISBN: 978-1-4051-3201-5
• Editorial: Blackwell
• Encuadernacion: Rústica
• Páginas: 464
• Fecha Publicación: 01/02/2008
• Nº Volúmenes: 1
• Idioma: Inglés