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Computational Methods in Decision-Making, Economics and Finance

  • Book
  • © 2002

Overview

Editors:
  1. Erricos John Kontoghiorghes

    1. Université de Neuchâtel, Switzerland

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    You can also search for this editor in PubMed   Google Scholar

  2. Berc Rustem

    1. Imperial College of Science, Technology & Medicine, UK

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    You can also search for this editor in PubMed   Google Scholar

  3. Stavros Siokos

    1. Citigroup Corporate & Investment Bank, UK

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    You can also search for this editor in PubMed   Google Scholar

Part of the book series: Applied Optimization (APOP, volume 74)

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Table of contents (30 chapters)

  1. Front Matter

    Pages i-xxi
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  2. Optimization Models

    1. Front Matter

      Pages 1-1
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    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
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    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
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Keywords

About this book

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.

Editors and Affiliations

  • Université de Neuchâtel, Switzerland

    Erricos John Kontoghiorghes

  • Imperial College of Science, Technology & Medicine, UK

    Berc Rustem

  • Citigroup Corporate & Investment Bank, UK

    Stavros Siokos

Bibliographic Information

  • Book Title: Computational Methods in Decision-Making, Economics and Finance

  • Editors: Erricos John Kontoghiorghes, Berc Rustem, Stavros Siokos

  • Series Title: Applied Optimization

  • DOI: https://doi.org/10.1007/978-1-4757-3613-7

  • Publisher: Springer New York, NY

  • eBook Packages: Springer Book Archive

  • Copyright Information: Springer Science+Business Media Dordrecht 2002

  • Hardcover ISBN: 978-1-4020-0839-9Published: 31 August 2002

  • Softcover ISBN: 978-1-4419-5230-1Published: 07 December 2010

  • eBook ISBN: 978-1-4757-3613-7Published: 11 November 2013

  • Series ISSN: 1384-6485

  • Edition Number: 1

  • Number of Pages: XXII, 626

  • Topics: Operations Research/Decision Theory, Algorithms, Management of Computing and Information Systems, Optimization

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