Linear programming. Foundations and extensions. (Q2473785)

The third edition of Vanderbei's well-known book contains as significant new material a chapter on financial applications of linear programming. To this aim firstly a portfolio problem is considered and -- substituting for each absolute value a new variable -- one gets a parametric linear programming problem, where the introduced parameter is the risk aversion. Some methods to solve the problem skillfully are added and also the remark, that Markowitz had won the Nobelprize 1990 in Economics for his work on portfolio selection problems (1959). Secondly option pricing (for call options) is described and discussed. Here the constructed linear programming problem has (initially) an infinite number of constraints. Generally the book is stimulating for all, who either want to study linear programming and a bit more or want to prepare a lecture on this field, since one finds in this book the basic tools of linear optimization together with such things as efficiency of the simplex method, implementation issues and interior point methods as well as a lot of applications and further items as for instance convex analysis, game theory, regression and net-work problems. Answers to selected exercises are added. For the reviews of the first (1996) and second (2001) editions see 0874.90133 and Zbl 1043.90002 .