Practical Financial Optimization, Decision Making for Financial Engineers (Innbundet (stive permer))

Stavros A. Zenios is Professor of Business and Public Administration at the University of Cyprus, Director of the HERMES European Center of Excellence on Computational Finance and Economics, and Senior Fellow at the Wharton Financial Institutions Center of the University of Pennsylvania. His previous books include Financial Optimization (1996); Parellel Optimization: Theory, Algorithms, and Applications (1997); and Performance of Financial Institutions: Efficiency, Innovation, Regulation (2000).

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.* 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* Analyizes real world applications and implications for financial engineers* Includes a list of models and a section on notations that includes a glossary of symbols and abbreviations

Foreword: Harry M. Markowitz. Preface. Acknowledgments. Notation. List of Models. 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. International Asset Allocation. 11. Corporate Bond Portfolios. 12. Insurance Policies with Guarantees. 13. Personal Financial Planning. IV. Library of Financial Optimization Models. 14. FINLIB: A Library of Financial Optimization Models. Bibliography. Index