Optimization methods in finance:
Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimizati...
Gespeichert in:
| Beteiligte Personen: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2018
|
| Ausgabe: | Second edition |
| Schlagwörter: | |
| Links: | https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340 https://doi.org/10.1017/9781107297340 |
| Zusammenfassung: | Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean-variance optimization, multi-period models, and additional material to highlight the relevance to finance |
| Umfang: | 1 online resource (xii, 337 pages) |
| ISBN: | 9781107297340 |
| DOI: | 10.1017/9781107297340 |
Internformat
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| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/9781107297340 |
| edition | Second edition |
| format | Electronic eBook |
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| isbn | 9781107297340 |
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| spelling | Cornuéjols, Gérard 1950- Verfasser (DE-588)121146855 aut Optimization methods in finance Gérard Cornuéjols, Carnegie Mellon University, Pennsylvania, Javier Peña, Carnegie Mellon University, Pennsylvania, Reha Tütüncü, SECOR Asset Management Second edition Cambridge Cambridge University Press 2018 1 online resource (xii, 337 pages) txt rdacontent c rdamedia cr rdacarrier Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean-variance optimization, multi-period models, and additional material to highlight the relevance to finance Finance / Mathematical models Mathematical optimization Wertpapieranalyse (DE-588)4124458-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Optimierungsproblem (DE-588)4390818-4 gnd rswk-swf Optimierung (DE-588)4043664-0 gnd rswk-swf Finanzierung (DE-588)4017182-6 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzierung (DE-588)4017182-6 s Optimierung (DE-588)4043664-0 s 1\p DE-604 Wertpapieranalyse (DE-588)4124458-8 s Portfoliomanagement (DE-588)4115601-8 s Optimierungsproblem (DE-588)4390818-4 s DE-604 Peña, Javier Verfasser (DE-588)1165326515 aut Tütüncü, Reha Verfasser (DE-588)140965920 aut Erscheint auch als Druck-Ausgabe, hardback 978-1-107-05674-9 Erscheint auch als Druck-Ausgabe, paperback 978-1-107-69889-5 https://doi.org/10.1017/9781107297340 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Cornuéjols, Gérard 1950- Peña, Javier Tütüncü, Reha Optimization methods in finance Finance / Mathematical models Mathematical optimization Wertpapieranalyse (DE-588)4124458-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd Optimierungsproblem (DE-588)4390818-4 gnd Optimierung (DE-588)4043664-0 gnd Finanzierung (DE-588)4017182-6 gnd |
| subject_GND | (DE-588)4124458-8 (DE-588)4115601-8 (DE-588)4390818-4 (DE-588)4043664-0 (DE-588)4017182-6 (DE-588)4123623-3 |
| title | Optimization methods in finance |
| title_auth | Optimization methods in finance |
| title_exact_search | Optimization methods in finance |
| title_full | Optimization methods in finance Gérard Cornuéjols, Carnegie Mellon University, Pennsylvania, Javier Peña, Carnegie Mellon University, Pennsylvania, Reha Tütüncü, SECOR Asset Management |
| title_fullStr | Optimization methods in finance Gérard Cornuéjols, Carnegie Mellon University, Pennsylvania, Javier Peña, Carnegie Mellon University, Pennsylvania, Reha Tütüncü, SECOR Asset Management |
| title_full_unstemmed | Optimization methods in finance Gérard Cornuéjols, Carnegie Mellon University, Pennsylvania, Javier Peña, Carnegie Mellon University, Pennsylvania, Reha Tütüncü, SECOR Asset Management |
| title_short | Optimization methods in finance |
| title_sort | optimization methods in finance |
| topic | Finance / Mathematical models Mathematical optimization Wertpapieranalyse (DE-588)4124458-8 gnd Portfoliomanagement (DE-588)4115601-8 gnd Optimierungsproblem (DE-588)4390818-4 gnd Optimierung (DE-588)4043664-0 gnd Finanzierung (DE-588)4017182-6 gnd |
| topic_facet | Finance / Mathematical models Mathematical optimization Wertpapieranalyse Portfoliomanagement Optimierungsproblem Optimierung Finanzierung Lehrbuch |
| url | https://doi.org/10.1017/9781107297340 |
| work_keys_str_mv | AT cornuejolsgerard optimizationmethodsinfinance AT penajavier optimizationmethodsinfinance AT tutuncureha optimizationmethodsinfinance |