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Financial optimization

Author: Stavros Andrea Zenios
Publisher: Cambridge ; New York : Cambridge University Press, 1993.
Edition/Format:   Book : Conference publication : EnglishView all editions and formats
Database:WorldCat
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Genre/Form: Conference proceedings
Congresses
Congrès
Material Type: Conference publication, Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Stavros Andrea Zenios
ISBN: 0521419050 9780521419055
OCLC Number: 24954361
Notes: "Proceedings of a conference held at the Wharton School, University of Pennsylvania, Philadelphia, USA, November, 1989"--P.
Description: xvii, 350 p. : ill. ; 24 cm.
Contents: Some financial optimization models : I. risk management ; Some financial optimization models : II. financial engineering / H. Dahl, A. Meeraus, and S.A. Zenios --
New "financial market equilibrium" results : implications for practical financial optimization / H.M. Markowitz --
Empirical tests of biases in equity portfolio optimization / P. Muller --
An economic approach to valuation of single premium deferred annuities / M.R. Asay, P.J. Bouyoucos, and A.M. Marciano. Commentary / D.F. Babbel --
The optimal portfolio system : targeting horizon total returns under varying interest-rate scenarios / E. Adamidou ... [et al.] --
Optimization tools for the financial manager's desk / M. Avriel --
A flexible approach to interest-rate risk management / H. Dahl --
Currency hedging strategies for US investment in Japan and Japanese investment in the US / W.T. Ziemba. Commentary / Y. Beppu. Incorporating transaction costs in models for asset allocation / J.M. Mulvey --
Bond portfolio analysis using integer programming / R.M. Nauss --
Scenario immunization / R.S. Dembo --
Mortgages and Markov chains : a simplified evaluation model / P. Zipkin --
Parallel Monte Carlo simulation of mortgage-backed securities / S.A. Zenios.
Responsibility: edited by Stavros A. Zenios.
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