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210123 ||| eng |
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|a 9781283406932
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|a 9781444302233
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|a 0470744286
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|a HG176.7
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|a Consiglio, Andrea
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|a Practical financial optimization
|b a library of GAMS models
|c Andrea Consiglio, Søren S. Nielsen, Stavros A. Zenios
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| 260 |
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|a Chichester, U.K.
|b Wiley
|c 2009
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| 300 |
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|a xviii, 177 pages
|b illustrations
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|a 3.3.1 Risk-free borrowing3.3.2 The FINLIB files; 3.4 Diversification Limits and Transaction Costs; 3.4.1 Transaction costs; 3.4.2 Portfolio revision; 3.4.3 The FINLIB files; 3.5 International Portfolio Management; 3.5.1 Implementation with dynamic sets; 3.5.2 The FINLIB files; 4 Portfolio Models for Fixed Income; 4.1 Preview; 4.2 Basics of Fixed-Income Modeling; 4.2.1 Modeling time; 4.2.2 GAMS as a financial calculator: continuous time; 4.2.3 Bootstrapping the term structure of interest rates; 4.2.4 Considerations for realistic modeling; 4.2.5 The FINLIB files; 4.3 Dedication Models
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|a 4.3.1 Horizon return model4.3.2 Tradeability considerations; 4.3.3 The FINLIB files; 4.4 Immunization Models; 4.4.1 The FINLIB files; 4.5 Factor Immunization Model; 4.5.1 Direct yield maximization; 4.5.2 The FINLIB files; 4.6 Factor Immunization for Corporate Bonds; 4.6.1 The model data sets; 4.6.2 The optimization models; 4.6.3 The FINLIB files; 5 Scenario Optimization; 5.1 Preview; 5.2 Data sets; 5.2.1 The FINLIB files; 5.3 Mean Absolute Deviation Models; 5.3.1 Downside risk and tracking models; 5.3.2 Comparing mean-variance and mean absolute deviation; 5.3.3 The FINLIB files
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|a 1.4.2 Command line interaction1.4.3 The model library; Notes and References; 2 Data Management; 2.1 Preview; 2.2 Basics of Data Handling; 2.2.1 Data entry: SCALARs, PARAMETERs, and TABLEs; 2.2.2 External data files: INCLUDE; 2.2.3 Output: DISPLAY and PUT; 2.3 Data Generation; 2.4 A Complete Example: Portfolio Dedication; 2.4.1 The source file; 2.4.2 The FINLIB files; 3 Mean-Variance Portfolio Optimization; 3.1 Preview; 3.2 Basics of Mean-Variance Models; 3.2.1 Data estimation for the mean-variance model; 3.2.2 Allowing short sales; 3.2.3 The FINLIB files; 3.3 Sharpe Ratio Model
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|a Includes bibliographical references (page 169) and index
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|a PRACTICAL FINANCIAL OPTIMIZATION; Contents; 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; 1.3.1 Lexical conventions; 1.3.2 Sets; 1.3.3 Expressions, functions, and operators; 1.3.4 Assignment statements; 1.3.5 Variable declarations; 1.3.6 Constraints: Equation declarations; 1.3.7 Model declarations; 1.3.8 The SOLVE statement and model types; 1.3.9 Control structures; 1.3.10 Conditional compilation; 1.4 Getting Started; 1.4.1 The Integrated Development Environment
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|a 5.4 Regret Models5.4.1 The FINLIB files; 5.5 Conditional Value-at-Risk Models; 5.5.1 The FINLIB files; 5.6 Utility Maximization Models; 5.6.1 The FINLIB files; 5.7 Put/Call Efficient Frontier Models; 5.7.1 The FINLIB files; 6 Dynamic Portfolio Optimization with Stochastic Programming; 6.1 Preview; 6.2 Dynamic Optimization for Fixed-Income Securities; 6.2.1 Stochastic dedication; 6.2.2 Stochastic dedication with borrowing and lending; 6.2.3 The FINLIB files; 6.3 Formulating Two-Stage Stochastic Programs; 6.3.1 Deterministic and stochastic two-stage programs; 6.3.2 The FINLIB files
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|a Optimisation mathématique
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|a Mathematical optimization / http://id.loc.gov/authorities/subjects/sh85082127
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|a Finance / Mathematical models / fast
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| 653 |
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|a Financial engineering / http://id.loc.gov/authorities/subjects/sh91003887
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| 653 |
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|a Mathematical optimization / fast
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|a Financial engineering / fast
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|a Financial Engineering / gnd / http://d-nb.info/gnd/4208404-0
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|a Finance / Mathematical models / http://id.loc.gov/authorities/subjects/sh85048260
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| 653 |
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|a GAMS / Programm / gnd / http://d-nb.info/gnd/7544019-2
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|a Optimierung / gnd / http://d-nb.info/gnd/4043664-0
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|a Finances / Modèles mathématiques
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| 653 |
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|a Ingénierie financière
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| 653 |
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|a BUSINESS & ECONOMICS / Economics / Theory / bisacsh
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| 700 |
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|a Nielsen, Søren S.
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| 700 |
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|a Zenios, Stavros Andrea
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| 041 |
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|a eng
|2 ISO 639-2
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| 989 |
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|b OREILLY
|a O'Reilly
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|a The Wiley Finance Series
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| 776 |
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|z 1118467183
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| 776 |
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|z 9781444302233
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| 776 |
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|z 1405133716
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| 776 |
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|z 9781405133715
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| 776 |
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|z 144430223X
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| 776 |
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|z 9781118467183
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| 856 |
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|u https://learning.oreilly.com/library/view/~/9781444317237/?ar
|x Verlag
|3 Volltext
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|a 620
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|a 330.015118
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|a 332
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|a 330
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|a In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers - numerical algorithms - to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models. The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the manage
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