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Optimal Financial Decision Making under Uncertainty.

Author: Giorgio Consigli; Daniel Kuhn; Paolo Brandimarte
Publisher: Cham : Springer International Publishing, 2016.
Series: International series in operations research & management science.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a  Read more...

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Genre/Form: Electronic books
Additional Physical Format: Print version:
Consigli, Giorgio.
Optimal Financial Decision Making under Uncertainty.
Cham : Springer International Publishing, ©2016
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Giorgio Consigli; Daniel Kuhn; Paolo Brandimarte
ISBN: 9783319416137 3319416138
OCLC Number: 961064117
Description: 1 online resource (310 pages).
Contents: Multi-period Risk Measures and Optimal Investment Policies.- Asset Price Dynamics: Shocks and Regimes.- Scenario Optimization Methods in Portfolio Analysis and Design.- Robust Approaches to Pension Fund Asset Liability Management under Uncertainty.- Liability-driven Investment in Longevity Risk Management.- Pricing Multiple Exercise American Options by Linear Programming.- Optimizing a Portfolio of Liquid and Illiquid Assets.- Stabilization Implementable Decisions in Dynamic Stochastic Programming.- The Growth Optimal Investment Strategy is Secure, Too.- Heuristics for Portfolio Selection.- Optimal Financial Decision Making under Uncertainty.
Series Title: International series in operations research & management science.

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