|
|
Sold Out
Book Categories |
Preface xi
Acknowledgments xiii
Notation xv
List of Models xix
1 An Introduction to the GAMS Modeling System 1
1.1 Preview 1
1.2 Basics of Modeling 1
1.3 The GAMS Language 2
1.3.1 Lexical conventions 3
1.3.2 Sets 4
1.3.3 Expressions, functions, and operators 6
1.3.4 Assignment statements 11
1.3.5 Variable declarations 12
1.3.6 Constraints: Equation declarations 13
1.3.7 Model declarations 14
1.3.8 The SOLVE statement and model types 15
1.3.9 Control structures 16
1.3.10 Conditional compilation 20
1.4 Getting Started 21
1.4.1 The Integrated Development Environment 21
1.4.2 Command line interaction 22
1.4.3 The model library 22
Notes and References 22
2 Data Management 25
2.1 Preview 25
2.2 Basics of Data Handling 25
2.2.1 Data entry: scalars, parameters, and tables 26
2.2.2 External data files: include 28
2.2.3 Output: display and put 29
2.3 Data Generation 31
2.4 A Complete Example: Portfolio Dedication 31
2.4.1 The source file 32
2.4.2 The FINLIB files 39
3 Mean-Variance Portfolio Optimization 41
3.1 Preview 41
3.2 Basics of Mean-Variance Models 42
3.2.1 Data estimation for the mean-variance model 46
3.2.2 Allowing short sales 48
3.2.3 The FINLIB files 49
3.3 Sharpe Ratio Model 50
3.3.1 Risk-free borrowing 51
3.3.2 The FINLIB files 53
3.4 Diversification Limits and Transaction Costs 53
3.4.1 Transaction costs 54
3.4.2 Portfolio revision 56
3.4.3 The FINLIB files 57
3.5 International Portfolio Management 57
3.5.1 Implementation with dynamic sets 58
3.5.2 The FINLIB files 61
4 Portfolio Models for Fixed Income 63
4.1 Preview 63
4.2 Basics of Fixed-Income Modeling 64
4.2.1 Modeling time 64
4.2.2 GAMS as a financial calculator: continuous time 66
4.2.3 Bootstrapping the term structure of interest rates 68
4.2.4 Considerations for realistic modeling 73
4.2.5 The FINLIB files 74
4.3 Dedication Models 74
4.3.1 Horizon return model 78
4.3.2 Tradeability considerations 79
4.3.3 The FINLIB files 82
4.4 Immunization Models 83
4.4.1 The FINLIB files 85
4.5 Factor Immunization Model 85
4.5.1 Direct yield maximization 87
4.5.2 The FINLIB files 89
4.6 Factor Immunization for Corporate Bonds 89
4.6.1 The model data sets 89
4.6.2 The optimization models 90
4.6.3 The FINLIB files 94
5 Scenario Optimization 95
5.1 Preview 95
5.2 Data sets 96
5.2.1 The FINLIB files 97
5.3 Mean Absolute Deyiation Models 97
5.3.1 Downside risk and tracking models 99
5.3.2 Comparing mean-variance and mean absolute deviation 101
5.3.3 The FINLIB files 103
5.4 Regret Models 104
5.4.1 The FINLIB files 106
5.5 Conditional Value-at-Risk Models 106
5.5.1 The FINLIB files 108
5.6 Utility Maximization Models 109
5.6.1 The FINLIB files 111
5.7 Put/Call Efficient Frontier Models 111
5.7.1 The FINLIB files 117
6 Dynamic Portfolio Optimization with Stochastic Programming 119
6.1 Preview 119
6.2 Dynamic Optimization for Fixed-Income Securities 119
6.2.1 Stochastic dedication 120
6.2.2 Stochastic dedication with borrowing and lending 122
6.2.3 The FINLIB files 124
6.3 Formulating Two-Stage Stochastic Programs 124
6.3.1 Deterministic and stochastic two-stage programs 125
6.3.2 The FINLIB files 128
6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program 128
6.4.1 Background and data 128
6.4.2 The FINLIB files 133
7 Index Funds 137
7.1 Preview 137
7.2 Models for Index Funds 138
7.2.1 A structural model for index funds 138
7.2.2 A co-movement model for index funds 139
7.2.3 A selective hedging model for index funds 140
7.2.4 The FINLIB files 143
8 Case Studies in Financial Optimization 145
8.1 Preview 145
8.2 Application I: International Asset Allocation 146
8.2.1 Operational considerations 149
8.2.2 Results 151
8.2.3 The FINLIB files 156
8.3 Application II: Corporate Bond Portfolio Management 156
8.3.1 The FINLIB files 159
8.4 Application III: Insurance Policies with Guarantees 159
8.4.1 The FINLIB files 164
8.5 Application IV: Personal Financial Planning 164
8.5.1 The FINLIB files 168
Bibliography 169
Index 171
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Julie Young
reviewed Practical Financial Optimization: A Library of GAMS Models on October 19, 2020
Practical Financial Optimization: A Library of GAMS Models
A great book to get hang of the basic statistics or econometrics required if one is working in data science domain. Its not too heavy on maths and yet conveys the key concepts in a lucid way. Also its not a typical heavy textbook trying to refer to the notations defined in chapter 1 in chapter 20. So, you can actually read it at a much faster pace. Definitely recommend it has the first book for any college grad with no economics or stats background.
Login|Complaints|Blog|Games|Digital Media|Souls|Obituary|Contact Us|FAQ
CAN'T FIND WHAT YOU'RE LOOKING FOR? CLICK HERE!!! X
You must be logged in to add to WishlistX
This item is in your Wish List
X
This item is in your Collection
Practical Financial Optimization: A Library of GAMS Models
X
This Item is in Your Inventory
Practical Financial Optimization: A Library of GAMS Models
X
You must be logged in to review the productsX
X
X
Add Practical Financial Optimization: A Library of GAMS Models, In practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modeling System. 'GAMS' consists of a language which allows a high-level, algebraic repre, Practical Financial Optimization: A Library of GAMS Models to the inventory that you are selling on WonderClubX
X
Add Practical Financial Optimization: A Library of GAMS Models, In practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modeling System. 'GAMS' consists of a language which allows a high-level, algebraic repre, Practical Financial Optimization: A Library of GAMS Models to your collection on WonderClub |