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:
| Beteilige Person: | |
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| Weitere beteiligte Personen: | , |
| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2018
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| Ausgabe: | Second edition. |
| Links: | 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-Ressource (xii, 337 Seiten) |
| ISBN: | 9781107297340 |
Internformat
MARC
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| 100 | 1 | |a Cornuejols, Gerard |d 1950- | |
| 245 | 1 | 0 | |a Optimization methods in finance |c Gérard Cornuéjols, Carnegie Mellon University, Pennsylvania, Javier Peña, Carnegie Mellon University, Pennsylvania, Reha Tütüncü, SECOR Asset Management |
| 250 | |a Second edition. | ||
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2018 | |
| 300 | |a 1 Online-Ressource (xii, 337 Seiten) | ||
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| 520 | |a 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. | ||
| 700 | 1 | |a Peña, Javier Francisco |d 1967- | |
| 700 | 1 | |a Tütüncü, Reha | |
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| spelling | Cornuejols, Gerard 1950- 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-Ressource (xii, 337 Seiten) txt c cr 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. Peña, Javier Francisco 1967- Tütüncü, Reha Erscheint auch als Druck-Ausgabe 9781107056749 Erscheint auch als Druck-Ausgabe 9781107698895 |
| spellingShingle | Cornuejols, Gerard 1950- Optimization methods in finance |
| 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 |
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