Optimization Methods in Finance

Cornuejols, Gerard; Pena, Javier; Tutuncu, Reha

ISBN 10: 1107056748 / ISBN 13: 9781107056749

Editore: Cambridge University Press, 2018

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Dati bibliografici

• Titolo: Optimization Methods in Finance
• Editore: Cambridge University Press
• Data di pubblicazione: 2018
• Lingua: Inglese
• ISBN 10: 1107056748
• ISBN 13: 9781107056749
• Rilegatura: Rilegato
• Edizione: seconda edizione
• Condizione: New

Descrizione articolo

Riassunto

Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.

Informazioni sugli autori

Gérard Cornuéjols is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. He is a member of the National Academy of Engineering and has received numerous prizes for his research contributions in integer programming and combinatorial optimization, including the Lanchester Prize, the Fulkerson Prize, the Dantzig Prize, and the von Neumann Theory Prize.

Javier Peña is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. His research explores the myriad of challenges associated with large-scale optimization models and he has published numerous articles on optimization, machine learning, financial engineering, and computational game theory. His research has been supported by grants from the National Science Foundation, including a prestigious CAREER award.

Reha Tütüncü is the Chief Risk Officer at SECOR Asset Management and an adjunct professor at Carnegie Mellon University, Pennsylvania. He has previously held senior positions at Goldman Sachs Asset Management and AQR Capital Management focusing on quantitative portfolio construction, equity portfolio management, and risk management.