Book1993

Financial Optimization

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142 citations0/0 files storedCambridge University Press eBooks

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Risk and Portfolio Optimization Financial Analysis and Corporate Governance Stochastic processes and financial applications

Abstract

The use of formal mathematical models and optimization in finance has become common practice in the 1980s and 1990s. This book clearly presents the exciting symbiosis between the fields of finance and management science/operations research. Prominent researchers present the state of the art in financial optimization, while analysts from industry discuss the latest business techniques practised by financial firms in New York, London and Tokyo. The book covers a wide range of topics: portfolio management of equities and fixed income investments, the pricing of complex insurance, mortgage and other asset-backed products, and models for risk-management and diversification.

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2008Robust optimization of conditional value at risk and portfolio selection 1997Solving long-term financial planning problems via global optimization 1998Operational Tools in the Management of Financial Risks 2003Financial planning via multi-stage stochastic optimization 1997Strategic financial risk management and operations research 2005Modeling Surrender and Lapse Rates With Economic Variables 2001Assessing financial risks using a multicriteria sorting procedure: the case of country risk assessment 2001Capital Budgeting Under Uncertainty—An Integrated Approach Using Contingent Claims Analysis and Integer Programming

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