{"product_id":"practical-financial-optimization-9781405133715","title":"Practical Financial Optimization","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eIn \u003ci\u003ePractical Financial Optimization: A Library of GAMS Models\u003c\/i\u003e, 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.\u003c\/p\u003e \u003cp\u003eThe 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\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003ePreface.  \u003c\/p\u003e\u003cp\u003eAcknowledgments.\u003c\/p\u003e \u003cp\u003eNotation.\u003c\/p\u003e \u003cp\u003eList of Models.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 An Introduction to the GAMS Modeling System.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Preview.\u003c\/p\u003e \u003cp\u003e1.2 Basics of Modeling.\u003c\/p\u003e \u003cp\u003e1.3 The GAMS Language.\u003c\/p\u003e \u003cp\u003e1.4 Getting Started.\u003c\/p\u003e \u003cp\u003eNotes and References.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Data Management.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Preview.\u003c\/p\u003e \u003cp\u003e2.2 Basics of Data Handling.\u003c\/p\u003e \u003cp\u003e2.3 Data Generation.\u003c\/p\u003e \u003cp\u003e2.4 A Complete Example: Portfolio Dedication.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Mean-Variance Portfolio Optimization.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Preview.\u003c\/p\u003e \u003cp\u003e3.2 Basics of Mean-Variance Models.\u003c\/p\u003e \u003cp\u003e3.3 Sharpe Ratio Model.\u003c\/p\u003e \u003cp\u003e3.4 Diversification Limits and Transaction Costs.\u003c\/p\u003e \u003cp\u003e3.5 International Portfolio Management.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Portfolio Models for Fixed Income.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Preview.\u003c\/p\u003e \u003cp\u003e4.2 Basics of Fixed-Income Modeling.\u003c\/p\u003e \u003cp\u003e4.3 Dedication Models.\u003c\/p\u003e \u003cp\u003e4.4 Immunization Models.\u003c\/p\u003e \u003cp\u003e4.5 Factor Immunization Model.\u003c\/p\u003e \u003cp\u003e4.6 Factor Immunization for Corporate Bonds.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Scenario Optimization.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Preview.\u003c\/p\u003e \u003cp\u003e5.2 Data sets.\u003c\/p\u003e \u003cp\u003e5.3 Mean Absolute Deviation Models.\u003c\/p\u003e \u003cp\u003e5.4 Regret Models.\u003c\/p\u003e \u003cp\u003e5.5 Conditional Value-at-Risk Models.\u003c\/p\u003e \u003cp\u003e5.6 Utility Maximization Models.\u003c\/p\u003e \u003cp\u003e5.7 Put\/Call Efficient Frontier Models.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Dynamic Portfolio Optimization with Stochastic Programming.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Preview.\u003c\/p\u003e \u003cp\u003e6.2 Dynamic Optimization for Fixed-Income Securities.\u003c\/p\u003e \u003cp\u003e6.3 Formulating Two-Stage Stochastic Programs.\u003c\/p\u003e \u003cp\u003e6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Index Funds.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Preview.\u003c\/p\u003e \u003cp\u003e7.2 Models for Index Funds.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Case Studies in Financial Optimization.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Preview.\u003c\/p\u003e \u003cp\u003e8.2 Application I: International Asset Allocation.\u003c\/p\u003e \u003cp\u003e8.3 Application II: Corporate Bond Portfolio Management.\u003c\/p\u003e \u003cp\u003e8.4 Application III: Insurance Policies with Guarantees.\u003c\/p\u003e \u003cp\u003e8.5 Application IV: Personal Financial Planning.\u003c\/p\u003e \u003cp\u003eBibliography.\u003c\/p\u003e \u003cp\u003eIndex.\u003c\/p\u003e","brand":"John Wiley and Sons Ltd","offers":[{"title":"Default Title","offer_id":49407871385943,"sku":"9781405133715","price":54.0,"currency_code":"GBP","in_stock":false}],"url":"https:\/\/bookcurl.com\/products\/practical-financial-optimization-9781405133715","provider":"Book Curl","version":"1.0","type":"link"}