Practical Financial Optimization: Decision Making for Financial Engineers
List of Models.
1. An Optimization View of Financial Engineering.
2. Basics of Risk Management.
II. Portfolio Optimization Models.
3. Mean-Variance Analysis.
4. Portfolio Models for Fixed Income.
5. Scenario Optimization.
6. Dynamic Portfolio Optimization with Stochastic Programming.
7. Index Funds.
8. Designing Financial Products.
9. Scenario Generation.
10. International Asset Allocation.
11. Corporate Bond Portfolios.
12. Insurance Policies with Guarantees.
13. Personal Financial Planning.
IV. Library of Financial Optimization Models.
14. FINLIB: A Library of Financial Optimization Models.
From the Foreword by Harry M. Markowitz, Nobel Laureate in Economics
“Most books on portfolio optimization focus on continuous time stochastic control models. By contrast, Zenios’s decision to focus on mathematical programming models in financial engineering is an auspicious one. The book is well organized and clearly written, and uses a minimum of technical prerequisites (both mathematical and financial). It should therefore be accessible and of interest to a broad audience: industry practitioners interested in the potential application of optimization to the problems they face, students curious about how optimization is applied in finance, and professional researchers who would like a comprehensive overview of the uses of mathematical programming in financial engineering.”
David Saunders, University of Waterloo
- Offers a comprehensive account of financial optimization models used to support corporate finance decision-making
- Focuses on classical static mean-variance analysis and portfolio immunization, scenario-based models, multi-period dynamic portfolio optimization, and the relationships between classes of models
- Provides the reader with solid knowledge of the foundations of financial optimization and introduces large-scale models that can be grounded on these foundations
- Includes a list of models and a section on notations that includes a glossary of symbols and abbreviations