Practical Financial Optimization : A Library of GAMS Models

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 management of d

MoreLess

Year of publication:	2011
Authors:	Zenios, Stauros Andrea
Other Persons:	Nielson, Soren S. (contributor) ; Consiglio, Andrea (contributor)
Publisher:	Hoboken : John Wiley & Sons, Inc
Subject:	Mathematische Optimierung \| Mathematical programming \| Financial Engineering \| Financial engineering \| Optimierung \| Modellierung \| Entscheidungsfindung
Description of contents:	Table of Contents [gbv.de] ; Table of Contents [external.dandelon.com] ; Description [zbmath.org]

Extent:	Online-Ressource (270 p.)
Series:	The Wiley Finance Series The Wiley Finance Ser ; v.580
Type of publication:	Book / Working Paper
Language:	English
Notes:	Description based upon print version of record Title Page; Copyright Page; Dedication; Preface; Acknowledgements; Notation; Chapter 1 - An Introduction to the GAMS Modeling System; Chapter 2 - Data Management; Chapter 3 - Mean-Variance Portfolio Optimization; Chapter 4 - Portfolio Models for Fixed Income; Chapter 5 - Scenario Optimization; Chapter 6 - Dynamic Portfolio Optimization with Stochastic Programming; Chapter 7 - Index Funds; Chapter 8 - Case Studies in Financial Optimization; Bibliography; Index;
ISBN:	978-1-4051-3371-5 ; 978-1-4443-0223-3 ; 978-1-4443-0223-3 ; 978-1-4443-1723-7
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012676392