Practical financial optimization : a library of GAMS models
by
Consiglio, Andrea.
Title
:
Practical financial optimization : a library of GAMS models
Author
:
Consiglio, Andrea.
ISBN
:
9781405133715
Personal Author
:
Consiglio, Andrea.
Publication Information
:
Chichester, U.K. : Wiley, 2009.
Physical Description
:
xviii, 177 p. : ill. ; 25 cm.
Series
:
Wiley finance
General Note
:
Formerly CIP.
Contents
:
1. An introduction to the GAMS modeling system -- 2. Data management -- 3. Mean-variance portfolio optimization -- 4. Portfolio models for fixed income -- 5. Scenario optimization -- 6. Dynamic portfolio optimization with stochastic programming -- 7. Index funds -- 8. Case studies in financial optimization.
Subject Term
:
Finance -- Mathematical models.
Mathematical optimization.
Added Author
:
Nielsen, Søren S.
Zenios, Stavros Andrea.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025557469 | 332.015196 C755P 2009 | 1 |