Book description
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
Table of contents
- Cover Page
- Title Page
- Copyright
- Dedication
- Contents
- Foreword
- Preface
- Acknowledgments
- Text Credits
- Notation
- List of Models
-
PART I: INTRODUCTION
- Chapter 1: An Optimization View of Financial Engineering
-
Chapter 2: Basics of Risk Management
- 2.1 Preview
- 2.2 A Classification of Financial Risks
- 2.3 Risk Measurement for Equities
- 2.4 Risk Measurement for Fixed-Income Securities
- 2.5 Scenario Analysis for Fixed-Income Securities
- 2.6 Enterprise-Wide Risk Measurement
- 2.7 Coherent Risk Measurement
- 2.8 Measurement of Reward and Performance Evaluation
- 2.9 Classification of Risk Management Models
- 2.10 Postview
- Notes and References
-
PART II: PORTFOLIO OPTIMIZATION MODELS
- Chapter 3: Mean-Variance Analysis
- Chapter 4: Portfolio Models for Fixed Income
- Chapter 5: Scenario Optimization
-
Chapter 6: Dynamic Portfolio Optimization with Stochastic Programming
- 6.1 Preview
- 6.2 Setting the Stage for Dynamic Models
- 6.3 Decision Rules for Dynamic Portfolio Strategies
- 6.4 Stochastic Dedication
- 6.5 Basic Concepts of Stochastic Programming
- 6.6 Stochastic Programming for Dynamic Portfolio Strategies
- 6.7 Comparison of Stochastic Programming with Other Methods
- 6.8 Postview
- Notes and References
- Chapter 7: Index Funds
- Chapter 8: Designing Financial Products
- Chapter 9: Scenario Generation
-
PART III: APPLICATIONS
- Chapter 10: International Asset Allocation
-
Chapter 11: Corporate Bond Portfolios
- 11.1 Preview
- 11.2 Credit Risk Securities
- 11.3 Integrating Market and Credit Risk
- 11.4 Optimizing the Right Risk Metric
- 11.5 Index Funds for Corporate Bond Portfolios
- 11.6 Tracking the Merrill Lynch Euro Dollar Corporate Bond Index
- 11.7 Funding Liabilities with Corporate Bonds
- 11.8 Postview
- Notes and References
- Chapter 12: Insurance Policies with Guarantees
- Chapter 13: Personal Financial Planning
- PART IV: LIBRARY OF FINANCIAL OPTIMIZATION MODELS
- Bibliography
- Index
Product information
- Title: Practical Financial Optimization: Decision Making for Financial Engineers
- Author(s):
- Release date: February 2008
- Publisher(s): Wiley
- ISBN: 9781405132008
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