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082 04 330.015118
082 04 330.015118|223
099 eBook O’Reilly for Public Libraries
100 1 Consiglio, Andrea.
245 10 Practical financial optimization :|ba library of GAMS
models /|cAndrea Consiglio, Søren S. Nielsen, Stavros A.
Zenios.|h[O'Reilly electronic resource]
260 Chichester, U.K. :|bWiley,|c2009.
300 1 online resource (xviii, 177 pages) :|billustrations
336 text|btxt|2rdacontent
337 computer|bc|2rdamedia
338 online resource|bcr|2rdacarrier
490 1 The Wiley Finance Series
504 Includes bibliographical references (page 169) and index.
505 0 PRACTICAL FINANCIAL OPTIMIZATION; Contents; Preface;
Acknowledgments; Notation; List of Models; 1 An
Introduction to the GAMS Modeling System; 1.1 Preview; 1.2
Basics of Modeling; 1.3 The GAMS Language; 1.3.1 Lexical
conventions; 1.3.2 Sets; 1.3.3 Expressions, functions, and
operators; 1.3.4 Assignment statements; 1.3.5 Variable
declarations; 1.3.6 Constraints: Equation declarations;
1.3.7 Model declarations; 1.3.8 The SOLVE statement and
model types; 1.3.9 Control structures; 1.3.10 Conditional
compilation; 1.4 Getting Started; 1.4.1 The Integrated
Development Environment
505 8 1.4.2 Command line interaction1.4.3 The model library;
Notes and References; 2 Data Management; 2.1 Preview; 2.2
Basics of Data Handling; 2.2.1 Data entry: SCALARs,
PARAMETERs, and TABLEs; 2.2.2 External data files:
INCLUDE; 2.2.3 Output: DISPLAY and PUT; 2.3 Data
Generation; 2.4 A Complete Example: Portfolio Dedication;
2.4.1 The source file; 2.4.2 The FINLIB files; 3 Mean-
Variance Portfolio Optimization; 3.1 Preview; 3.2 Basics
of Mean-Variance Models; 3.2.1 Data estimation for the
mean-variance model; 3.2.2 Allowing short sales; 3.2.3 The
FINLIB files; 3.3 Sharpe Ratio Model
505 8 3.3.1 Risk-free borrowing3.3.2 The FINLIB files; 3.4
Diversification Limits and Transaction Costs; 3.4.1
Transaction costs; 3.4.2 Portfolio revision; 3.4.3 The
FINLIB files; 3.5 International Portfolio Management;
3.5.1 Implementation with dynamic sets; 3.5.2 The FINLIB
files; 4 Portfolio Models for Fixed Income; 4.1 Preview;
4.2 Basics of Fixed-Income Modeling; 4.2.1 Modeling time;
4.2.2 GAMS as a financial calculator: continuous time;
4.2.3 Bootstrapping the term structure of interest rates;
4.2.4 Considerations for realistic modeling; 4.2.5 The
FINLIB files; 4.3 Dedication Models
505 8 4.3.1 Horizon return model4.3.2 Tradeability
considerations; 4.3.3 The FINLIB files; 4.4 Immunization
Models; 4.4.1 The FINLIB files; 4.5 Factor Immunization
Model; 4.5.1 Direct yield maximization; 4.5.2 The FINLIB
files; 4.6 Factor Immunization for Corporate Bonds; 4.6.1
The model data sets; 4.6.2 The optimization models; 4.6.3
The FINLIB files; 5 Scenario Optimization; 5.1 Preview;
5.2 Data sets; 5.2.1 The FINLIB files; 5.3 Mean Absolute
Deviation Models; 5.3.1 Downside risk and tracking models;
5.3.2 Comparing mean-variance and mean absolute deviation;
5.3.3 The FINLIB files
505 8 5.4 Regret Models5.4.1 The FINLIB files; 5.5 Conditional
Value-at-Risk Models; 5.5.1 The FINLIB files; 5.6 Utility
Maximization Models; 5.6.1 The FINLIB files; 5.7 Put/Call
Efficient Frontier Models; 5.7.1 The FINLIB files; 6
Dynamic Portfolio Optimization with Stochastic
Programming; 6.1 Preview; 6.2 Dynamic Optimization for
Fixed-Income Securities; 6.2.1 Stochastic dedication;
6.2.2 Stochastic dedication with borrowing and lending;
6.2.3 The FINLIB files; 6.3 Formulating Two-Stage
Stochastic Programs; 6.3.1 Deterministic and stochastic
two-stage programs; 6.3.2 The FINLIB files
520 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
Modelling System. 'GAMS' consists of a language which
allows a high-level, algebraic representation of
mathematical models and a set of solvers - numerical
algorithms - to solve them. The system was developed in
response to the need for powerful and flexible front-end
tools to manage large, real-life models. The work begins
with an overview of the structure of the GAMS language,
and discusses issues relating to the manage.
546 English.
590 O'Reilly|bO'Reilly Online Learning: Academic/Public
Library Edition
650 0 Financial engineering.
650 0 Finance|xMathematical models.
650 0 Mathematical optimization.
650 6 Ingénierie financière.
650 6 Finances|xModèles mathématiques.
650 6 Optimisation mathématique.
650 7 Finance|xMathematical models|2fast
650 7 Financial engineering|2fast
650 7 Mathematical optimization|2fast
650 7 Optimierung|2gnd
650 7 GAMS|gProgramm|2gnd
650 7 Financial Engineering|2gnd
700 1 Nielsen, Søren S.
700 1 Zenios, Stavros Andrea.
776 08 |iPrint version:|aConsiglio, Andrea.|tPractical financial
optimization.|dChichester, U.K. : Wiley, 2009|w(DLC)
2009007436
830 0 Wiley finance series.
856 40 |uhttps://ezproxy.naperville-lib.org/login?url=https://
learning.oreilly.com/library/view/~/9781444317237/?ar
|zAvailable on O'Reilly for Public Libraries
938 ebrary|bEBRY|nebr10510388
938 EBSCOhost|bEBSC|n509932
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938 YBP Library Services|bYANK|n8856224
994 92|bJFN