Practical Financial Optimization

Decision Making for Financial Engineers
1. Auflage 2007
ISBN: 978-1-4051-3200-8
Verlag: Wiley

Buch, Englisch, 432 Seiten, Format (B × H): 197 mm x 252 mm, Gewicht: 1030 g

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

Zielgruppe

The intended audiences are advanced undergraduate, Masters or Doctoral students, and practicing financial engineers working on Wall St, LaSalle St, or in City in London, or at Big Banks and Hedging Firms anywhere.A background in finance is assumed, equiva

Autoren/Hrsg.

Zenios, Stavros A

Weitere Mitwirkende

Markowitz, Harry M.

Fachgebiete

• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines
• Mathematik | Informatik Mathematik Operations Research

Inhaltsverzeichnis

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

Über Autor(innen)

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).