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Practical Financial Optimization: A Library of GAMS Models by Soren S Nielson, Andrea Consiglio, Stavros Zenios

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Chapter 8
Case Studies in Financial Optimization

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In this chapter we develop the GAMS models for large-scale applications of portfolio optimization. The development is based on the discussion of Chapters PFO-10 to PFO-13. There are several important steps in going from an abstract description of the real-world problem, as described in PFO, to the implementable models we discuss here. These applications were developed by us and several collaborators over a number of years, and the models given in this chapter reflect various refinements that were developed in the implementation stage. These case studies can be used as the basis for the development of decision support systems to suit any special requirements.
The following models are discussed in this chapter and the GAMS source code for each is given in the associated FINLIB files:
International asset allocation provides models for investors that must track an international bond index while limiting their foreign exchange exposure. This model is based on Chapter PFO-10.
• BondIndex.gms
• BondIndexData.gms
Corporate bond portfolio management optimizes a portfolio of credit-risky assets following a passive, index fund, strategy. This model is based on Chapter PFO-11.
• Corporate.gms
• CorporateCVaR.gms
Minimum guarantee products develops models for the management of participating insurance policies with minimum guaranteed rate of return as discussed in Chapter PFO-12.
• GuaranteeModel.gms
Personal asset allocation provides ...

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