Practical Financial Optimization : A Library of GAMS Models

by Editor: Stavros A. Zenios (University of Cyprus); Soren S Nielson; Andrea Consiglio

• ISBN13: 9781444317244
• ISBN10: 1444317245
• Format: eBook
• Copyright: 2009-12-01
• Publisher: Wiley-Blackwell

Summary

Optimization is concerned with the representation and solution of models. Models can be represented in a number of ways, and they can be solved using a number of methods or algorithms. The General Algebraic Modeling System, GAMS, is a system for formulating and solving optimization models. It consists of a language which allows a high-level, algebraic representation of mathematical models, and a set of solvers to solve them.This title provides a stable of GAMS models which can be adapted for use for particular optimization purposes. It sets out GAMS language and the basics of data management in GAMS Models. It introduces methods of building large-scale mean-variance models for managing international portfolios of bond and stock indices, extending these to incorporate various practical considerations on the portfolio trade ability. The authors develop these models for scenario-based portfolio optimization and for dynamic portfolio optimization using stochastic programming. They also provide models for structuring index funds and for creating an index fund of fixed income securities. There is an indexation model to provide hedging for the exchange rate risk of an international portfolio. The title includes international asset allocation models to track the international bond index, while limiting foreign exchange exposure. Finally the authors develop models for the management of participating insurance policies with minimum guaranteed rate of return, and a scenario optimization model for asset and liability management of individual investors.

Table of Contents

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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