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| Author | : Randall S. Hiller |
| Publisher | : |
| Total Pages | : 18 |
| Release | : 1991 |
| Genre | : |
| ISBN | : |
| Author | : Dwight B. Crane |
| Publisher | : |
| Total Pages | : 40 |
| Release | : 1969 |
| Genre | : |
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| Author | : Rudabeh Meskarian |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2012 |
| Genre | : |
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| Author | : Jeremy F. Shapiro |
| Publisher | : |
| Total Pages | : 72 |
| Release | : 1986 |
| Genre | : |
| ISBN | : |
| Author | : Harvey J. Greenberg |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 740 |
| Release | : 2012-12-06 |
| Genre | : Computers |
| ISBN | : 3642835554 |
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 | : Chuan Xu |
| Publisher | : |
| Total Pages | : 70 |
| Release | : 2014 |
| Genre | : Portfolio management |
| ISBN | : |
Studies on two sides are done in this thesis. First, we consider bond portfolio optimization problem under stochastic optimization structure; second, specific algorithm to solve the problem is explored. A stochastic model for the problem is constructed. Investor is able to minimize the cost of setting up bond portfolio to cover random obligations with our model. The idea of rebalancing is introduced into our model. Investor could adjust the portfolio after he have set up the bond portfolio. Thus, we develop a two-stage stochastic programming with recourse model for bond optimization problem. Specific algorithms to solve the problem are also discussed in the thesis. We focus on simulation approach since it is able to handle special case of the problem whose random variables in constraints have continuous distribution. The key points of the approach are introduced and discussed. We successfully implement the approach on our model. Various numerical example tests with different scenario settings are carried out to see the impacts of different factors on the optimum value, optimum solution and the quality of results. The validity of our model and the efficiency of simulation approach are proved by the results. Several future research directions on this topic are also discussed in the thesis.
| Author | : Tuula Hakala |
| Publisher | : |
| Total Pages | : 125 |
| Release | : 1996 |
| Genre | : Börsväsen |
| ISBN | : 9789517910170 |
| Author | : William T. Ziemba |
| Publisher | : Cambridge University Press |
| Total Pages | : 688 |
| Release | : 1998-11-12 |
| Genre | : Business & Economics |
| ISBN | : 9780521571876 |
The underlying theme of this volume is how to invest assets over time to achieve satisfactory returns subject to uncertainties, various constraints and liability commitments. Most investors, be they individuals or institutions, do not diversify properly across markets nor across time. The papers utilize several approaches and integrate a number of techniques as well as discussing a variety of models that have either been implemented, are close to being implemented, or represent new innovative approaches that may lead to future novel applications. Other issues address the future of asset-liability management modeling. This includes models for individuals, and various financial institutions such as banks and insurance companies. This will lead to custom products, that is, financial engineering. All in all, this will be essential reading for all involved in analysing the financial markets.
| Author | : Jitka Dupacova |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 394 |
| Release | : 2005-12-30 |
| Genre | : Mathematics |
| ISBN | : 0306481677 |
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.
| Author | : Andrea Consiglio |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
Sovereign states issue fixed and floating securities to fund their public debt. The value of such portfolios strongly depends on the fluctuations of the term structure of interest rates. This is a typical example of planning under uncertainty, where decisions has to be drawn on the base of the key stochastic economic factors underneath the model. We propose a multistage stochastic programming model to select portfolios of bonds, where the aim of the decision maker is that of minimizing the cost of the decision process. At the same time, we bound the conditional Value-at-Risk, a measure of risk which accounts for the losses of the tail distribution. We build an efficient frontier to trade-off the optimal cost versus the conditional Value-at-Risk and analyze the results obtained.
