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Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.
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Contenuti
Preface. Contributing Authors. Part I: Optimization Models. 1. Multi-period optimal asset allocation for a multi-currency hedged portfolio; D. Mignacca, A. Meucci. 2. Rebalancing Strategies for Long-term Investors; J.M. Mulvey, K.D. Simsek. 3. Multistage stochastic programming in computational finance; N. Gulpinar, et al. 4. Multistage stochastic optimization model for the cash management problem; O. Schmid. 5. Robust portfolio analysis; B. Rustem, R. Settergren. 6. Robust mean-semivariance portfolio optimization; O.L.V. Costa, et al. 7. Perturbative approaches for robust optimal portfolio problems; F. Trojani, P. Vanini. 8. Maxmin Portfolios in Models where Immunization is not Feasible; A. Balbás, A. Ibáñez. 9. Portfolio Optimization with VaR and Expected Shortfall; M. Gilli, E. Këllezi. 10. Borrowing Constraints, Portfolio Choice, and Precautionary Motives; M. Haliassos, C. Hassapis. 11. The risk profile problem for stock portfolio optimization; M.-Y. Kao, et al. 12. A capacitated transportation-inventory problem with stochastic demands; P. Chaovalitwongse, et al. 13. Utility maximisation with a time lag in trading; L.C.G. Rogers, E.J. Stapleton. 14. Simulations for hedging financial contracts with optimal decisions; H. Windcliff, et al. 15. Automatic differentiation for computational finance; C.H. Bischof, et al. Part II: Equilibria, Modelling and Pricing. 16. Interest rate barrier options; G. Barone-Adesi, G. Sorwar. 17. Pricing American optionsby fast solutions of LCPs; A. Borici, H.-J. Lüthi. 18. Hedging with Monte Carlo simulation; J. Cvitanić, et al. 19. In Search of Deterministic Complex Patterns in Commodity Prices; A. Chatrath, et al. 20. A review of stock market prediction using computational methods; I.E. Diakoulakis, et al. 21. Numerical strategies for solving SUR models; P. Foschi, et al. 22. Time-Frequency Representation in the Analysis of Stock Market Data; G. Turhan-Sayan, S. Sayan. 23. Opportunity cost algorithms for combinatorial auctions; K. Akcoglu, et al. 24. A finite states contraction algorithm for dynamic models; J.X. Li. 25. Traffic network equilibrium and the environment; A. Nagurney, et al. 26. Mathematical model of technology diffusion in developing countries; Ding Zhang, et al. 27. Estimation of Stochastic Volatility Models; F. Bartolucci, G. De Luca. 28. Genetic programming with syntactic restrictions applied to financial volatility forecasting; G. Zumbach, et al. 29. Simulation-based tests of PTM; L. Khalaf, M. Kichian. 30. Credit risk assessment using a multicriteria hierarchical discrimination approach; K. Kosmidou, et al.
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Computational Methods in Decision-Making, Economics and Finance (Applied Optimization, 74)
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Computational Methods in Decision-Making, Economics and Finance (Hardcover)
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Hardcover. Condizione: new. Hardcover. Computing has become essential for the modelling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Optimization is at the core of rational decision making. Even when the decision-maker has more than one goal or there is significant uncertainty in the system, optimization provides a rational framework for efficient decisions. The Markowitz mean-variance formulation is a classical example. Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9781402008399
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Gebunden. Condizione: New. Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of . Codice articolo 64772708
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Condizione: New. Computing has become essential for the modeling, analysis, and optimization of systems. This book deals with the algorithms, computational analysis, and decision models. It includes chapters that are organized in two parts: optimization models of decisions and models of pricing and equilibria. Editor(s): Rustem, Berc; Kontoghiorghes, Erricos John; Siokos, Stavros. Series: Applied Optimization. Num Pages: 648 pages, biography. BIC Classification: KJMD; KJT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 254 x 178 x 34. Weight in Grams: 1338. . 2002. Hardback. . . . . Codice articolo V9781402008399
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Buch. Condizione: Neu. Neuware - Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Codice articolo 9781402008399
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Condizione: New. Computing has become essential for the modeling, analysis, and optimization of systems. This book deals with the algorithms, computational analysis, and decision models. It includes chapters that are organized in two parts: optimization models of decisions and models of pricing and equilibria. Editor(s): Rustem, Berc; Kontoghiorghes, Erricos John; Siokos, Stavros. Series: Applied Optimization. Num Pages: 648 pages, biography. BIC Classification: KJMD; KJT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 254 x 178 x 34. Weight in Grams: 1338. . 2002. Hardback. . . . . Books ship from the US and Ireland. Codice articolo V9781402008399
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Computational Methods in Decision-Making, Economics and Finance (Hardcover)
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Kluwer Academic Publishers, New York, NY, 2002
ISBN 10: 1402008392
ISBN 13: 9781402008399
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Hardcover. Condizione: new. Hardcover. Computing has become essential for the modelling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Optimization is at the core of rational decision making. Even when the decision-maker has more than one goal or there is significant uncertainty in the system, optimization provides a rational framework for efficient decisions. The Markowitz mean-variance formulation is a classical example. Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability. Codice articolo 9781402008399
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