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Practical Financial Optimization : a Library of GAMS Models.

Author: Stavros A Zenios; Soren S Nielson; Andrea Consiglio
Publisher: Hoboken : John Wiley & Sons, 2009.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
Optimization is concerned with the representation and solution of models. Models can be represented in a number of ways, and they can be solved using a number of methods or algorithms. The General Algebraic Modeling System, GAMS, is a system for formulating and solving optimization models. It consists of a language which allows a high-level, algebraic representation of mathematical models, and a set of solvers to  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Zenios, Stavros A.
Practical Financial Optimization : A Library of GAMS Models.
Hoboken : John Wiley & Sons, Inc., ©2009
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Stavros A Zenios; Soren S Nielson; Andrea Consiglio
ISBN: 9781444302233 144430223X 1405133716 9781405133715
OCLC Number: 742332876
Description: 1 online resource (270 pages)
Contents: 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.

Abstract:

This title provides a stable of General Algebraic Modeling System (GAMS) models which can be adapted for use for particular optimization purposes.  Read more...

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