Practical financial optimization : a library of GAMS models
Title:
Practical financial optimization : a library of GAMS models
Author:
Consiglio, Andrea.
ISBN:
9781405133715
Personal Author:
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.