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Author : Jeremy F. Shapiro
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.:/5 (276 download)
Download or read book Stochastic Programming Models for Dedicated Portfolio Selection written by Jeremy F. Shapiro and published by . This book was released on 1986 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : R. J. Peters
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.E/5 ( download)
Download or read book Stochastic Programming in Portfolio Selection written by R. J. Peters and published by . This book was released on 1979 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : William T. Ziemba
Publisher : World Scientific
ISBN 13 : 981256800X
Total Pages : 756 pages
Book Rating : 4.8/5 (125 download)
Download or read book Stochastic Optimization Models in Finance written by William T. Ziemba and published by World Scientific. This book was released on 2006 with total page 756 pages. Available in PDF, EPUB and Kindle. Book excerpt: A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems.Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.
Author : Alexander Shapiro
Publisher : SIAM
ISBN 13 : 0898718759
Total Pages : 447 pages
Book Rating : 4.8/5 (987 download)
Download or read book Lectures on Stochastic Programming written by Alexander Shapiro and published by SIAM. This book was released on 2009-01-01 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization problems involving stochastic models occur in almost all areas of science and engineering, such as telecommunications, medicine, and finance. Their existence compels a need for rigorous ways of formulating, analyzing, and solving such problems. This book focuses on optimization problems involving uncertain parameters and covers the theoretical foundations and recent advances in areas where stochastic models are available. Readers will find coverage of the basic concepts of modeling these problems, including recourse actions and the nonanticipativity principle. The book also includes the theory of two-stage and multistage stochastic programming problems; the current state of the theory on chance (probabilistic) constraints, including the structure of the problems, optimality theory, and duality; and statistical inference in and risk-averse approaches to stochastic programming.
Author : Harvey J. Greenberg
Publisher : Springer Science & Business Media
ISBN 13 : 3642835554
Total Pages : 740 pages
Book Rating : 4.6/5 (428 download)
Download or read book Mathematical Models for Decision Support written by Harvey J. Greenberg and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 740 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is quite an onerous task to edit the proceedings of a two week long institute with learned contributors from many parts of the world. All the same, the editorial team has found the process of refereeing and reviewing the contributions worthwhile and completing the volume has proven to be a satisfying task. In setting up the institute we had considered models and methods taken from a number of different disciplines. As a result the whole institute - preparing for it, attending it and editing the proceedings - proved to be an intense learning experience for us. Here I speak on behalf of the committee and the editorial team. By the time the institute took place, the papers were delivered and the delegates exchanged their views, the structure of the topics covered and their relative positioning appeared in a different light. In editing the volume I felt compelled to introduce a new structure in grouping the papers. The contents of this volume are organised in eight main sections set out below: 1 . Abstracts. 2. Review Paper. 3. Models with Multiple Criteria and Single or Multiple Decision Makers. 4. Use of Optimisation Models as Decision Support Tools. 5. Role of Information Systems in Decision Making: Database and Model Management Issues. 6. Methods of Artificial Intelligence in Decision Making: Intelligent Knowledge Based Systems. 7. Representation of Uncertainty in Mathematical Models and Knowledge Based Systems. 8. Mathematical Basis for Constructing Models and Model Validation.
Author : Ann Van Ackere
Publisher : Routledge
ISBN 13 : 135174626X
Total Pages : 484 pages
Book Rating : 4.3/5 (517 download)
Download or read book Decision Science written by Ann Van Ackere and published by Routledge. This book was released on 2017-11-01 with total page 484 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000. This text is part of the "International Library of Management", which aims to present a comprehensive core reference series comprised of significant and influencial articles by the authorities in the management studies field. The collection of essays is both international and interdisciplinary in scope and aims to provide an entry point for investigating the myriad of study within the discipline.
Author : Stavros A. Zenios
Publisher : Elsevier
ISBN 13 : 0080478204
Total Pages : 509 pages
Book Rating : 4.0/5 (84 download)
Download or read book Handbook of Asset and Liability Management written by Stavros A. Zenios and published by Elsevier. This book was released on 2006-07-17 with total page 509 pages. Available in PDF, EPUB and Kindle. Book excerpt: This first volume of the Handbook of Asset and Liability Management presents the theories and methods supporting models that align a firm's operations and tactics with its uncertain environment. Detailing the symbiosis between optimization tools and financial decision-making, its original articles cover term and volatility structures, interest rates, risk-return analysis, dynamic asset allocation strategies in discrete and continuous time, the use of stochastic programming models, bond portfolio management, and the Kelly capital growth theory and practice. They effectively set the scene for Volume Two by showing how the management of risky assets and uncertain liabilities within an integrated, coherent framework remains the core problem for both financial institutions and other business enterprises as well.*Each volume presents an accurate survey of a sub-field of finance*Fills a substantial gap in this field*Broad in scope
Author : Hatem Masri
Publisher : Springer
ISBN 13 : 3319688766
Total Pages : 246 pages
Book Rating : 4.3/5 (196 download)
Download or read book Financial Decision Aid Using Multiple Criteria written by Hatem Masri and published by Springer. This book was released on 2018-01-17 with total page 246 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume highlights recent applications of multiple-criteria decision-making (MCDM) models in the field of finance. Covering a wide range of MCDM approaches, including multiobjective optimization, goal programming, value-based models, outranking techniques, and fuzzy models, it provides researchers and practitioners with a set of MCDM methodologies and empirical results in areas such as portfolio management, investment appraisal, banking, and corporate finance, among others. The book addresses issues related to problem structuring and modeling, solution techniques, comparative analyses, as well as combinations of MCDM models with other analytical methodologies.
Author : J. Dolezal
Publisher : Springer
ISBN 13 : 0387348972
Total Pages : 635 pages
Book Rating : 4.3/5 (873 download)
Download or read book System Modelling and Optimization written by J. Dolezal and published by Springer. This book was released on 2013-06-05 with total page 635 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings volume contains carefully selected papers presented during the 17th IFIP Conference on System Modelling and Optimization. Optimization theory and practice, optimal control, system modelling, stochastic optimization, and technical and non-technical applications of the existing theory are among areas mostly addressed in the included papers. Main directions are treated in addition to several survey papers based on invited presentations of leading specialists in the respective fields. Publication provides state-of-the-art in the area of system theory and optimization and points out several new areas (e.g fuzzy set, neural nets), where classical optimization topics intersects with computer science methodology.
Author :
Publisher :
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.:/5 (52 download)
Download or read book Stochastic Programming written by and published by . This book was released on 1995 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : András Prékopa
Publisher :
ISBN 13 :
Total Pages : 346 pages
Book Rating : 4.F/5 ( download)
Download or read book Stochastic Programming written by András Prékopa and published by . This book was released on 1995 with total page 346 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Amy Puelz
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Stochastic Convergence Model for Portfolio Selection written by Amy Puelz and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio selection techniques must provide decision-makers with a dynamic model framework that incorporates realistic assumptions regarding financial markets, risk preferences and required portfolio characteristics. Unfortunately, multi-stage stochastic programming (SP) models for portfolio selection very quickly become intractable as assumptions are relaxed and uncertainty is introduced. In this paper I present an alternative model framework for portfolio selection, stochastic convergence (SC), that systematically incorporates uncertainty under a realistic assumption set. The optimal portfolio is derived through an iterative procedure where portfolio plans are evaluated under many possible future scenarios then revised until the model converges to the optimal plan. This approach allows for scenario analysis over all stochastic components, requires no limitation on the structural form of the objective or constraints, and permits evaluation over any length planning horizon while maintaining model tractability by aggregating the scenario tree at each stage in the solution process. In simulated tests, the SC model, with scenario aggregation, generated portfolios exhibiting performance similar to those generated using the SP model form with no aggregation. Empirical tests using historical fund returns show that a multi-period SC decision strategy outperforms various benchmark strategies over a long-term test horizon.
Author : Jill Anna Smith
Publisher :
ISBN 13 :
Total Pages : 82 pages
Book Rating : 4.:/5 (794 download)
Download or read book A Stochastic Programming Approach to Portfolio Selection with a New Definition of Risk written by Jill Anna Smith and published by . This book was released on 2010 with total page 82 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Renata Mansini
Publisher : Springer
ISBN 13 : 3319184822
Total Pages : 131 pages
Book Rating : 4.3/5 (191 download)
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Author : Jitka Dupacova
Publisher : Springer Science & Business Media
ISBN 13 : 1402008406
Total Pages : 394 pages
Book Rating : 4.4/5 (2 download)
Download or read book Stochastic Modeling in Economics and Finance written by Jitka Dupacova and published by Springer Science & Business Media. This book was released on 2002-08-31 with total page 394 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unlike other books that focus only on selected specific subjects this book provides both a broad and rich cross-section of contemporary approaches to stochastic modeling in finance and economics; it is decision making oriented. The material ranges from common tools to solutions of sophisticated system problems and applications. In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study. Selected examples of successful applications in finance, production planning and management of technological processes and electricity generation are presented. Throughout, the emphasis is on the appropriate use of the techniques, rather than on the underlying mathematical proofs and theories. In Part IV, the sections devoted to stochastic calculus cover also more advanced topics such as DDS Theorem or extremal martingale measures, which make it possible to treat more delicate models in Mathematical Finance (complete markets, optimal control, etc.) Audience: Students and researchers in probability and statistics, econometrics, operations research and various fields of finance, economics, engineering, and insurance.
Author : Maria Bonilla
Publisher : Springer Science & Business Media
ISBN 13 : 3642576524
Total Pages : 426 pages
Book Rating : 4.6/5 (425 download)
Download or read book Financial Modelling written by Maria Bonilla and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 426 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains a selection of the papers presented at the 24th Meeting of the Euro Working Group on Financial Modelling held in Valencia, Spain, on April 8-10, 1.999. The Meeting took place in the Bancaja Cultural Center, a nice palace of the XIX century, located in the center of the city. Traditionally, members of the Euro Working Group on Financial Mod elling meet twice a year, hosted by different active groups in successions. The year 1999 was very special for us because the University of Valencia celebrates its fifth century. The Meeting was very well attended and of high quality. More than 90 participants, coming from 20 different countries debated 46 communications in regular sessions. The opening lecture was given by Prof. H. White, from the University of California, San Diego. The topics discussed were classified in nine sessions: Financial Theory, Financial Time Series, Risk Analysis, Portfolio Analysis, Financial Institu tions, Microstructures Market and Corporate Finance, Methods in Finance, Models in Finance and Derivatives. The papers collected in this volume provide a representative but not com plete sample of the fields where the members of the working group develop their scientific activity. The papers are a sample of this activity, and consist of theoretical papers as well as empirical ones.
Author : John R. Birge
Publisher :
ISBN 13 :
Total Pages : 316 pages
Book Rating : 4.F/5 ( download)
Download or read book Research in Stochastic Programming written by John R. Birge and published by . This book was released on 2000 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt:
