Preface | |
Acknowledgments | |
Notation | |
List of Models | |
An Introduction to the GAMS Modeling System | |
Preview | |
Basics of Modeling | |
The GAMS Language | |
Getting Started | |
Notes and References | |
Data Management | |
Preview | |
Basics of Data Handling | |
Data Generation | |
A Complete Example: Portfolio Dedication | |
Mean-Variance Portfolio Optimization | |
Preview | |
Basics of Mean-Variance Models | |
Sharpe Ratio Model | |
Diversification Limits and Transaction Costs | |
International Portfolio Management | |
Portfolio Models for Fixed Income | |
Preview | |
Basics of Fixed-Income Modeling | |
Dedication Models | |
Immunization Models | |
Factor Immunization Model | |
Factor Immunization for Corporate Bonds | |
Scenario Optimization | |
Preview | |
Data sets | |
Mean Absolute Deviation Models | |
Regret Models | |
Conditional Value-at-Risk Models | |
Utility Maximization Models | |
Put/Call Efficient Frontier Models | |
Dynamic Portfolio Optimization with Stochastic Programming | |
Preview | |
Dynamic Optimization for Fixed-Income Securities | |
Formulating Two-Stage Stochastic Programs | |
Single Premium Deferred Annuities: A Multi-stage Stochastic Program | |
Index Funds | |
Preview | |
Models for Index Funds | |
Case Studies in Financial Optimization | |
Preview | |
Application I: International Asset Allocation | |
Application II: Corporate Bond Portfolio Management | |
Application III: Insurance Policies with Guarantees | |
Application IV: Personal Financial Planning | |
Bibliography | |
Index | |
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