Description
Book SynopsisIn Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. ''GAMS'' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers numerical algorithms to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models.
The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the management of data in GAMS models. The authors provide models for mean-variance portfolio optimization which address the question of trading off the portfolio expected return against its risk. Fixed income portfolio optimization models perform standard calculations and allow the user to bootstrap a yield curve from bond prices. Dedication models allow for standard portfolio dedication with borro
Table of Contents
Preface.
Acknowledgments.
Notation.
List of Models.
1 An Introduction to the GAMS Modeling System.
1.1 Preview.
1.2 Basics of Modeling.
1.3 The GAMS Language.
1.4 Getting Started.
Notes and References.
2 Data Management.
2.1 Preview.
2.2 Basics of Data Handling.
2.3 Data Generation.
2.4 A Complete Example: Portfolio Dedication.
3 Mean-Variance Portfolio Optimization.
3.1 Preview.
3.2 Basics of Mean-Variance Models.
3.3 Sharpe Ratio Model.
3.4 Diversification Limits and Transaction Costs.
3.5 International Portfolio Management.
4 Portfolio Models for Fixed Income.
4.1 Preview.
4.2 Basics of Fixed-Income Modeling.
4.3 Dedication Models.
4.4 Immunization Models.
4.5 Factor Immunization Model.
4.6 Factor Immunization for Corporate Bonds.
5 Scenario Optimization.
5.1 Preview.
5.2 Data sets.
5.3 Mean Absolute Deviation Models.
5.4 Regret Models.
5.5 Conditional Value-at-Risk Models.
5.6 Utility Maximization Models.
5.7 Put/Call Efficient Frontier Models.
6 Dynamic Portfolio Optimization with Stochastic Programming.
6.1 Preview.
6.2 Dynamic Optimization for Fixed-Income Securities.
6.3 Formulating Two-Stage Stochastic Programs.
6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program.
7 Index Funds.
7.1 Preview.
7.2 Models for Index Funds.
8 Case Studies in Financial Optimization.
8.1 Preview.
8.2 Application I: International Asset Allocation.
8.3 Application II: Corporate Bond Portfolio Management.
8.4 Application III: Insurance Policies with Guarantees.
8.5 Application IV: Personal Financial Planning.
Bibliography.
Index.
