• Practical Financial Optimization (Paperback / softback) 9781405132015
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Practical Financial Optimization
Decision Making for Financial Engineers

Stavros A. Zenios (Author), Harry M. Markowitz (Foreword by)

9781405132015, Wiley

Paperback / softback, published 29 February 2008

432 pages
24.6 x 19 x 2.4 cm, 0.844 kg

Practical Financial Optimization is a comprehensive guide to optimization techniques in financial decision making. This book illuminates the relationship between theory and practice, providing the readers with solid foundational knowledge.

  • Focuses on classical static mean-variance analysis and portfolio immunization, scenario-based models, multi-period dynamic portfolio optimization, and the relationships between classes of models
  • Analyizes real world applications and implications for financial engineers
  • Includes a list of models and a section on notations that includes a glossary of symbols and abbreviations

Foreword.

Preface.

Acknowledgements.

List of Models.

Notation.

I. Introduction.

1. An Optimization View of Financial Engineering.

2. Basics of Risk Management.

II. Portfolio Optimization Models.

3. Mean-Variance Analysis.

4. Portfolio Models for Fixed Income.

5. Scenario Optimization.

6. Dynamic Portfolio Optimization with Stochastic Programming.

7. Index Funds.

8. Designing Financial Products.

9. Scenario Generation.

III. Applications.

10. Application I: International Asset Allocation.

11. Application II: Corporate Bond Portfolios.

12. Application III: Insurance Policies with Guarantees.

13. Application IV: Personal Financial Planning.

IV. Library of Financial Optimization Models.

14. FINLIB: A Library of Financial Optimization Models

A. Basics of Optimization.

B. Basics of Probability Theory.

C. Stochastic Processes.

Bibliography.

Index.

Subject Areas: Finance & accounting [KF]
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