Zenios / Nielson / Consiglio Practical Financial Optimization

A Library of GAMS Models
1. Auflage 2011
ISBN: 978-1-4443-0223-3
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 198 Seiten, E-Book

Reihe: Wiley Finance Series

In Practical Financial Optimization: A Library of GAMSModels, the authors provide a diverse set of models forportfolio optimization, based on the General Algebraic ModellingSystem. 'GAMS' consists of a language which allows ahigh-level, algebraic representation of mathematical models and aset of solvers - numerical algorithms - to solve them.The system was developed in response to the need for powerful andflexible front-end tools to manage large, real-life models.
The work begins with an overview of the structure of the GAMSlanguage, and discusses issues relating to the management of datain GAMS models. The authors provide models for mean-varianceportfolio optimization which address the question of trading offthe portfolio expected return against its risk. Fixed incomeportfolio optimization models perform standard calculations andallow the user to bootstrap a yield curve from bond prices.Dedication models allow for standard portfolio dedication withborrowing and re-investment decisions, and are extended to dealwith maximisation of horizon return and to incorporate variouspractical considerations on the portfolio tradeability.Immunization models provide for the factor immunization ofportfolios of treasury and corporate bonds.
The scenario-based portfolio optimization problem is addressedwith mean absolute deviation models, tracking models, regretmodels, conditional VaR models, expected utility maximizationmodels and put/call efficient frontier models. The authors employstochastic programming for dynamic portfolio optimization,developing stochastic dedication models as stochastic extensions ofthe fixed income models discussed in chapter 4. Two-stage andmulti-stage stochastic programs extend the scenario models analysedin Chapter 5 to allow dynamic rebalancing of portfolios as timeevolves and new information becomes known. Models for structuringindex funds and hedging interest rate risk on internationalportfolios are also provided.
The final chapter provides a set of 'case studies':models for large-scale applications of portfolio optimization,which can be used as the basis for the development of businesssupport systems to suit any special requirements, including modelsfor the management of participating insurance policies and personalasset allocation.
The title will be a valuable guide for quantitative developersand analysts, portfolio and asset managers, investment strategistsand advanced students of finance.

Autoren/Hrsg.

Nielson, Soren S

Consiglio, Andrea

Zenios, Stavros A.

Inhaltsverzeichnis

Preface.
Acknowledgments.
Notation.
List of Models.
1 An Introduction to the GAMS Modeling System.
1.1 Preview.
1.2 Basics of Modeling.
1.3 The GAMS Language.
1.4 Getting Started.
Notes and References.
2 Data Management.
2.1 Preview.
2.2 Basics of Data Handling.
2.3 Data Generation.
2.4 A Complete Example: Portfolio Dedication.
3 Mean-Variance Portfolio Optimization.
3.1 Preview.
3.2 Basics of Mean-Variance Models.
3.3 Sharpe Ratio Model.
3.4 Diversification Limits and Transaction Costs.
3.5 International Portfolio Management.
4 Portfolio Models for Fixed Income.
4.1 Preview.
4.2 Basics of Fixed-Income Modeling.
4.3 Dedication Models.
4.4 Immunization Models.
4.5 Factor Immunization Model.
4.6 Factor Immunization for Corporate Bonds.
5 Scenario Optimization.
5.1 Preview.
5.2 Data sets.
5.3 Mean Absolute Deviation Models.
5.4 Regret Models.
5.5 Conditional Value-at-Risk Models.
5.6 Utility Maximization Models.
5.7 Put/Call Efficient Frontier Models.
6 Dynamic Portfolio Optimization with StochasticProgramming.
6.1 Preview.
6.2 Dynamic Optimization for Fixed-Income Securities.
6.3 Formulating Two-Stage Stochastic Programs.
6.4 Single Premium Deferred Annuities: A Multi-stage StochasticProgram.
7 Index Funds.
7.1 Preview.
7.2 Models for Index Funds.
8 Case Studies in Financial Optimization.
8.1 Preview.
8.2 Application I: International Asset Allocation.
8.3 Application II: Corporate Bond Portfolio Management.
8.4 Application III: Insurance Policies with Guarantees.
8.5 Application IV: Personal Financial Planning.
Bibliography.
Index.

Über Autor(innen)

ANDREA CONSIGLIO is professor of Mathematical Finance at theUniversity of Palermo, Italy. He has held positions at theUniversity of Calabria and at the University of Cyprus. He hasparticipated in consultancy projects with the Banca della SvizzeraItaliana, Switzerland and Prometeia, Italy. He has co-authored onebook and numerous articles for various leading academic journals.In 2006 he was awarded the EURO Excellence in Practice Award,jointly with Stavros A. Zenios and Flavio Cocco. His researchinterests encompass many areas in the field of financial modelingand computational finance. He holds a PhD in applied mathematics tofinance and economics.
SØREN NIELSEN (1959-2003) was an Associate Professorin the Department of Informatics and Mathematical Modeling at theTechnical University of Denmark. He worked at the World Bank andthe University of Texas at Austin. He held degrees in computerscience and a PhD in decision sciences from the Wharton School ofthe University of Pennsylvania.
STAVROS A. ZENIOS is Professor of Finance and ManagementScience at the University of Cyprus, Director of the HERMESEuropean Centre of Excellence on Computational Finance andEconomics, and Senior Fellow at the Wharton Financial InstitutionsCentre of the University of Pennsylvania. He has co-authored morethan 130 articles in some of the premier journals in the filed,serves on the editorial board of six journals, and receivednumerous awards for his research and publications. His previousbooks include Practical Financial Optimization: Decision Makingfor Financial Engineers (Blackwell Publishing, 2007);Performance of Financial Institutions: Efficiency, Innovation,Regulation (Cambridge University Press, 2000); ParallelOptimization: Theory, Algorithms, and Applications (OxfordUniversity Press, 1997); and Financial Optimization(Cambridge University Press, 1996).