Practical Financial Optimization Decision Making for Financial Engineers
by Zenios, Stavros A.; Markowitz, Harry M.Edition: 1st
Format: Hardcover
Pub. Date: 2008-02-11
Publisher(s): Wiley-Blackwell
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Summary
This book gives a comprehensive account of financial optimization models used to support decision-making for financial engineers. It starts with the classical static mean-variance analysis and portfolio immunization, moves on to scenario-based models, and builds towards multi-period dynamic portfolio optimization. As the story unfolds the relationships between classes of models are revealed. Once the foundations are laid with several building blocks, and the broad landscape of financial optimization is charted, the book moves on to analyze several real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations.
Author Biography
Stavros A. Zenios is Professor of Business and Public Administration at the University of Cyprus, Director of the HERMES European Center of Excellence on Computational Finance and Economics, and Senior Fellow at the Wharton Financial Institutions Center of the University of Pennsylvania. His previous books include Financial Optimization (1996); Parellel Optimization: Theory, Algorithms, and Applications (1997); and Performance of Financial Institutions: Efficiency, Innovation, Regulation (2000).
Table of Contents
| Foreword | |
| Preface | |
| Acknowledgements | |
| List of Models Notation | |
| Introduction | |
| An Optimization View of Financial Engineering | |
| Basics of Risk Management | |
| Portfolio Optimization Models | |
| Mean-Variance Analysis | |
| Portfolio Models for Fixed Income | |
| Scenario Optimization | |
| Dynamic Portfolio Optimization with Stochastic Programming | |
| Index Funds | |
| Designing Financial Products | |
| Scenario Generation | |
| Applications | |
| Application I: International Asset Allocation | |
| Application II: Corporate Bond Portfolios | |
| Application III: Insurance Policies with Guarantees | |
| Application IV: Personal Financial Planning | |
| Library of Financial Optimization Models | |
| FINLIB: A Library of Financial Optimization Models | |
| Table of Contents provided by Publisher. All Rights Reserved. |
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