Optimization methods in finance.

DOI10.1017/9781107297340zbMATH Open1400.91001OpenAlexW4233369492MaRDI QIDQ4577977FDOQ4577977

Authors Gérard Cornuéjols, Reha H. Tütüncü, Javier Peña 

Publication date 7 August 2018

Full work available at URL https://doi.org/10.1017/9781107297340

zbMATH Keywords

option pricingasset allocationoptimization modelscomputational financemodel calibration

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Applications of mathematical programming (90C90) Portfolio theory (91G10) Stochastic systems and control (93E99) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Financial applications of other theories (91G80) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01)

Recommendations

• Optimization Methods in Finance
• scientific article; zbMATH DE number 5865552
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
• scientific article; zbMATH DE number 5935369
• Numerical methods and optimization in finance

Cited In (16)

• Introduction to Modern Portfolio optimization with NUOPT and S-PLUS
• Title not available (Why is no real title available?)
• Performance indicators in multiobjective optimization
• Distributionally robust profit opportunities
• A practical guide to robust portfolio optimization
• On a solution method in indefinite quadratic programming under linear constraints
• Enhanced index tracking problem: a new optimization model and a sum-of-ratio based algorithm
• Practical financial optimization. Decision making for financial engineers. Foreword by Harry M. Markowitz
• Bi-objective reliability based optimization: an application to investment analysis
• Optimization Methods in Finance
• Estimating variances in time series kriging using convex optimization and empirical BLUPs
• Dynamic optimization models in finance: some extensions to the framework, models, and computation
• The famous American economist H. Markowitz and mathematical overview of his portfolio selection theory
• Time-varying mean-variance portfolio selection under transaction costs and cardinality constraint problem via beetle antennae search algorithm (BAS)
• A signal processing perspective on financial engineering
• Robust arbitrage conditions for financial markets

This page was built for publication: Optimization methods in finance.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4577977)