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by Soren S Nielson, Andrea Consiglio, Stavros Zenios
Practical Financial Optimization: A Library of GAMS Models
Title Page
Copyright Page
Dedication
Preface
Acknowledgements
Notation
Sets and Indices
Variables and Parameters
Glossary of Symbols
Abbreviations
Chapter 1 - An Introduction to the GAMS Modeling System
1.1 Preview
1.2 Basics of Modeling
1.3 The GAMS Language
1.4 Getting Started
Notes and References
Chapter 2 - Data Management
2.1 Preview
2.2 Basics of Data Handling
2.3 Data Generation
2.4 A Complete Example: Portfolio Dedication
Chapter 3 - Mean-Variance Portfolio Optimization
3.1 Preview
3.2 Basics of Mean-Variance Models
3.3 Sharpe Ratio Model
3.4 Diversification Limits and Transaction Costs
3.5 International Portfolio Management
Chapter 4 - Portfolio Models for Fixed Income
4.1 Preview
4.2 Basics of Fixed-Income Modeling
4.3 Dedication Models
4.4 Immunization Models
4.5 Factor Immunization Model
4.6 Factor Immunization for Corporate Bonds
Chapter 5 - Scenario Optimization
5.1 Preview
5.2 Data sets
5.3 Mean Absolute Deviation Models
5.4 Regret Models
5.5 Conditional Value-at-Risk Models
5.6 Utility Maximization Models
5.7 Put/Call Efficient Frontier Models
Chapter 6 - Dynamic Portfolio Optimization with Stochastic Programming
6.1 Preview
6.2 Dynamic Optimization for Fixed-Income Securities
6.3 Formulating Two-Stage Stochastic Programs
6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program
Chapter 7 - Index Funds
7.1 Preview
7.2 Models for Index Funds
Chapter 8 - Case Studies in Financial Optimization
8.1 Preview
8.2 Application I: International Asset Allocation
8.3 Application II: Corporate Bond Portfolio Management
8.4 Application III: Insurance Policies with Guarantees
8.5 Application IV: Personal Financial Planning
Bibliography
Index
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