Index
Figures and Tables are indicated by italic page numbers, footnotes by suffix ‘n’

accrued interest
active constraint
algebraic modeling
ALIAS statement
mean-variance model
portfolio dedication model
scenario-based optimization model
stochastic programming model
ASCII files
assignment statements

bibliography
binary variables
bond cashflows
bond prices
bonds,
coupon bearing
face value
principal and interest
yield-to-maturity
zero coupon
bootstrapping
borrowing,
portfolio dedication model
risk-free, mean-variance model
stochastic dedication model

calendar (date and time) functions
CARD
case studies
corporate bond portfolio management
insurance policies with guarantees
international asset allocation
personal financial planning
certainty equivalent return on equity (CeROE), as function of risk aversion parameter
circular sets
coherent risk measure
comma-delimited files see CSV files
comma-separated values see CSV
command line, GAMS executed via
comment line
Committee on Uniform Security Identification Procedures see also CUSIP identifier
co-movement approach for index funds
conditional compilation
conditional expressions see also $-operator
conditional value-at-risk (CVaR) models
constrained nonlinear systems (CNS)
constraint(s)
ε-regret
active
endogenous variables in
even-lot
linear
liquidity
MAD
non-anticipativity
normalization
operational
zero-or-range
continuous-time discounting
continuous variables
control statements
FOR
IF
LOOP
WHILE
convexity
factor modified
corporate bond portfolio management
corporate bonds,
credit ratings
factor immunization for
corporate indexed bonds,
strategic model
tactical model
coupon-bearing bond
CSV files
CUSIP identifier
CVaR models

data entry
display
multidimensional data
PARAMETER
corporate bond management model
fixed-income model
insurance with guarantee model
mean-variance model
portfolio dedication model
scenario-based optimization model
stochastic programming model
SCALAR
TABLE
data generation
data handling
data management
date and time (calendar) functions
DECIMALS option
deterministic two-stage program
discount factor
discrete-time calculations
discrete variables
DISPLAY statement
diversification
limits
$-control commands
$IF
$INCLUDE
$LABEL
$LOAD
$OFFDELIM
$OFFLISTING/$ONLISTING
$ONDELIM
$SET
$-operator
dollar-sign controls see $-control commands
dollar-sign operator see $-operator
dot notation
downside risk
duration, drift,
factor modified
Fischer-Weil
dynamic portfolio optimization,
for fixed-income securities
with stochastic programming
dynamic sets

efficient frontier,
conditional value-at-risk model
integrated indexation model
mean absolute deviation (MAD) model
mean-variance (MV) model
international diversification and
with risk-free borrowing
with short sales
put/call model
regret model
selective hedging model
end-of-line comment
endogenous variables
equation(s)
attributes
L
LO
M
UP
dual
EQUATION
factor immunization model
international asset allocation
mean-variance model
primal
relational operators
stochastic programming model
even-lot constraints
Excel, communications with GAMS
exchange-rate scenarios
exogenous variables
expected returns, calculation
expressions
extended arithmetic
external data files

factor immunization models
for corporate bonds
with correlated credit rating classes
with uncorrelated credit rating classes
factor loadings
Fibonacci numbers
FINLIB library
files listed
corporate bond portfolio management
fixed-income models
index fund model
insurance policies with guarantees
international asset allocation
mean-variance models
personal financial planning
scenario-based optimization models
stochastic programming models
Fischer-Weil duration
fixed-income modeling,
basics
considerations for realistic modeling
fixed-income portfolio optimization
fixed-income securities,
dynamic optimization for
see also bond(s)
FOR statement
forward rate(s)
functions
calendar (date and time)
CARD
listed
ORD
PROD
SAMEAS
SMAX
SMIN
SUM

GAMS
command line interaction
communications with Excel
compiler
creating new GAMS project
Data Exchange see GDX
executing GAMS models
as financial calculator
model library
opening existing GAMS project
ouput
GAMS IDE
project file
GAMS language
lexical conventions
GDX
GDX container
GDX utility,
GDXIN
GDXXRW
General Algebraic Modeling System see GAMS
graphical user interface,
GAMS executed via
see also Integrated Development Environment

hedging
partial
selective
horizontal return model

IF statement
immunization model
with extended scenario-dependent variables and constraints
index funds
co-movement model
selective hedging model
structural model
indices (sets)
insurance policies with guarantees
integer programming
integer variables
Integrated Development Environment see also GAMS IDE
integrated indexation model
interest-rate change factors
interest rate risk, managing
interest-rate scenarios
international asset allocation
international portfolio management
implementation with dynamic sets
ITERLIM option

Klee-Minty problem, solving
leads and lags (indices in sets)
LIMCOL option
LIMROW option
linear constraint
linear programming
liquidity constraint(s)
put/call efficient frontiers affected by
liquidity premia and discounts
listing file
logical operators
LOOP statement
loss function

MAD constraint
MAD model(s)
compared with MV model
international asset allocation application
Markowitz model
mathematical programming,
dual problem
dual variables
linear problem
nonlinear problem
primal problem
mean absolute deviation see MAD model
mean absolute deviation efficient frontier
mean-CVaR efficient frontier
mean-variance efficient frontier
international diversification and
with risk-free borrowing
with short sales
mean-variance (MV) model(s),
basics
compared with mean absolute deviation model
data estimation
for international portfolios
portfolio limits
Sharpe ratio maximization
short sales allowed
mean-variance portfolio optimization
mean-variance risk attitude
mixed-integer programming
model
attributes HOLDFIXED
MODEL
types
model classification
CNS
DNLP
LP
MINLP
MIP
NLP
RMIP
model library
model status,
infeasible
locally optimal
optimal
unbounded
mortgage-backed securities (MBSs)
multidimensional data

neutral element
non-anticipativity constraint
nonlinear programming
normalization constraint

operational constraints
operators
$-operator
listed
logical
relational
OPTCR option
OPTION statement
options
DECIMALS
ITERLIM
LIMCOL
LIMROW
LP
model
MODELSTAT
OPTCR
RESLIM
SOLVEOPT
solver
ORD

parallel assignment
PARAMETER
corporate bond management model
fixed-income model
insurance with guarantee model
mean-variance model
portfolio dedication model
scenario-based optimization model
stochastic programming model
partial hedging
personal financial planning
portfolio dedication model,
borrowing and reinvestment included
formal model
GAMS model
data and parameter settings
variables and equations
portfolio models,
diversification limits and
factor immunization models
fixed-income models
horizon return model
immunization models
international portfolio management
Sharpe ratio maximization
transaction costs and
yield maximization
portfolio rebalancing/revision
present value
PROD
project file see GAMS IDE
put/call efficient frontier
put/call models
PUT statement

recurrence relation
regret models
reinvestment rate
relational operators
RESLIM option
return constraint
return on equity (ROE) see also certainty equivalent return on equity
return uncertainty
risk,
attitudes
averse
coherent measure
downside
interest rate
neutral
seeking
tilt
upside
variance-covariance matrix
volatility
risk aversion parameter
certainty equivalent return on equity and
portfolio composition affected by
risk-free borrowing

Salomon Brothers bond index
SAMEAS
SCALAR
scenario-based portfolio optimization
scenario generation, bootstrapping method
selective hedging model for index funds
sets
ALIAS statement
mean-variance model
portfolio dedication model
dynamic
explanatory text
indices
circular
leads and lags
multidimensional
subsets
YES
Sharpe ratio
Sharpe ratio model
short sales,
in fixed-income models
in mean-variance models
not allowed
single premium deferred annuities (SPDA)
SMAX
SMIN
SOLVE
MAXIMIZING
MINIMIZING
solvers
special values,
EPS
INF
NA
UNDF
split-variable formulation
spot rate(s)
static sets
stochastic dedication model
borrowing and lending
stochastic index
stochastic programming
stochastic programs,
multi-stage
two-stage
stochastic two-stage program
structural model for index funds
subsets
SUM

TABLE
target return
term structure
bootstrapping
tilt risk
time modeling
tracking models
tradeability
transaction costs
fixed/flat
proportional

upside risk
utility function
utility maximization models

value-at-risk (VaR) concept
VaR
benchmark
variable(s),
attributes
FX
L
LO
M
UP
bounds
classification/declaration
BINARY
FREE
INTEGER
NEGATIVE
POSITIVE
continuous
discrete
endogenous
exogenous
variance-covariance matrix

WHILE statement

yield
yield maximization
yield-to-maturity of bond

zero coupon bond
zero-or-range constraints

Index compiled by Paul Nash.
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