Computational Methods in Decision-Making, Economics and Finance

1. Front Matter

   Pages i-xxi

   PDF

2. Optimization Models

   1. Front Matter

      Pages 1-1

      PDF

   2. Multi-Period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio

      • Domenico Mignacca, Attilio Meucci

      Pages 3-14

   3. Rebalancing Strategies for Long-Term Investors

      • John M. Mulvey, Koray D. Simsek

      Pages 15-33

   4. Multistage Stochastic Programming in Computational Finance

      • Nalan Gulpinar, Berc Rustem, Reuben Settergren

      Pages 35-47

   5. A Multistage Stochastic Optimization Model for the Cash Management Problem

      • Olivier Schmid

      Pages 49-75

   6. Scenario Specification for Robust Portfolio Analysis

      • Berc Rustem, Reuben Settergren

      Pages 77-88

   7. A Linear Matrix Inequalities Approach to Robust Mean-Semivariance Portfolio Optimization

      • Oswaldo L. V. Costa, Rodrigo de Barros Nabholz

      Pages 89-107

   8. A Review of Perturbative Approaches for Robust Optimal Portfolio Problems

      • Fabio Trojani, Paolo Vanini

      Pages 109-138

   9. Maxmin Portfolios in Models Where Immunization is Not Feasible

      • Alejandro Balbás, Alfredo Ibáñez

      Pages 139-165

   10. A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall

       • Manfred Gilli, Evis Këllezi

       Pages 167-183

   11. Borrowing Constraints, Portfolio Choice, and Precautionary Motives

       • Michael Haliassos, Christis Hassapis

       Pages 185-212

   12. The Risk Profile Problem for Stock Portfolio Optimization

       • Ming-Yang Kao, Andreas Nolte, Stephen R. Tate

       Pages 213-230

   13. A Scenario-Based Heuristic for a Capacitated Transportation-Inventory Problem with Stochastic Demands

       • Paveena Chaovalitwongse, H. Edwin Romeijn, Panos M. Pardalos

       Pages 231-248

   14. Utility Maximisation with a Time Lag in Trading

       • L. C. G. Rogers, E. J. Stapleton

       Pages 249-269

   15. Simulations for Hedging Financial Contracts with Optimal Decisions

       • H. Windcliff, P. A. Forsyth, K. R. Vetzal, W. J. Morland

       Pages 271-296

   16. Automatic Differentiation for Computational Finance

       • Christian H. Bischof, H. Martin Bücker, Bruno Lang

       Pages 297-310

3. Equilibria, Modelling and Pricing

   1. Front Matter

      Pages 311-311

      PDF

   2. Interest Rate Barrier Options

      • Giovanni Barone-Adesi, Ghulam Sorwar

      Pages 313-324

   3. Pricing American Put Options by Fast Solutions of the Linear Complementarity Problem

      • Artan Borici, Hans-Jakob Lüthi

      Pages 325-338

Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

• Monte Carlo Simulation
• Simulation
• Stochastic Optimization
• Stochastic Programming
• algorithms
• calculus
• genetic programming
• linear optimization
• modeling
• optimization
• programming

• Université de Neuchâtel, Switzerland

  Erricos John Kontoghiorghes

• Imperial College of Science, Technology & Medicine, UK

  Berc Rustem

• Citigroup Corporate & Investment Bank, UK

  Stavros Siokos

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