Practical Financial Optimization Decision Making for Financial Engineers

by Zenios, Stavros A.; Markowitz, Harry M.

• ISBN13: 9781405132008
• ISBN10: 1405132000
• Edition: 1st
• Format: Hardcover
• Copyright: 2008-02-11
• Publisher: Wiley-Blackwell

Summary

This book gives a comprehensive account of financial optimization models used to support decision-making for financial engineers. It starts with the classical static mean-variance analysis and portfolio immunization, moves on to scenario-based models, and builds towards multi-period dynamic portfolio optimization. As the story unfolds the relationships between classes of models are revealed. Once the foundations are laid with several building blocks, and the broad landscape of financial optimization is charted, the book moves on to analyze several real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations.

Author Biography

Stavros A. Zenios is Professor of Business and Public Administration at the University of Cyprus, Director of the HERMES European Center of Excellence on Computational Finance and Economics, and Senior Fellow at the Wharton Financial Institutions Center of the University of Pennsylvania. His previous books include Financial Optimization (1996); Parellel Optimization: Theory, Algorithms, and Applications (1997); and Performance of Financial Institutions: Efficiency, Innovation, Regulation (2000).

Table of Contents

Foreword

Preface

Acknowledgements

List of Models Notation

Introduction

An Optimization View of Financial Engineering

Basics of Risk Management

Portfolio Optimization Models

Mean-Variance Analysis

Portfolio Models for Fixed Income

Scenario Optimization

Dynamic Portfolio Optimization with Stochastic Programming

Index Funds

Designing Financial Products

Scenario Generation

Applications

Application I: International Asset Allocation

Application II: Corporate Bond Portfolios

Application III: Insurance Policies with Guarantees

Application IV: Personal Financial Planning

Library of Financial Optimization Models

FINLIB: A Library of Financial Optimization Models

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