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Optimization methods in finance

Cornuejols, Gerard.

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Optimization methods in finance

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Optimization methods in finance/ Gerard Cornuejols, Javier Francisco Pena, Reha Tutuncu.
作者:	Cornuejols, Gerard.
其他作者:	Pena, Javier Francisco.
出版者:	Cambridge :Cambridge University Press, : 2018.,
面頁冊數:	xii, 337 p. :ill., digital ;24 cm.
附註:	Title from publisher's bibliographic system (viewed on 01 Aug 2018).
標題:	Finance - Mathematical models. -
電子資源:	https://doi.org/10.1017/9781107297340
ISBN:	9781107297340

Optimization methods in finance
Cornuejols, Gerard.

Optimization methods in finance[electronic resource] /Gerard Cornuejols, Javier Francisco Pena, Reha Tutuncu. - Second edition. - Cambridge :Cambridge University Press,2018. - xii, 337 p. :ill., digital ;24 cm.

Title from publisher's bibliographic system (viewed on 01 Aug 2018).

Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory, algorithms, and software can be used to efficiently solve problems in computational finance. It discusses some classical mean-variance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students, academics, and practitioners with a background in mathematics, operations research, or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of mean-variance optimization, multi-period models, and additional material to highlight the relevance to finance.

ISBN: 9781107297340Subjects--Topical Terms:

578740
Finance
--Mathematical models.

LC Class. No.: HG106 / .C67 2018

Dewey Class. No.: 332.015195

Optimization methods in finance
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500 $a Title from publisher's bibliographic system (viewed on 01 Aug 2018).
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