Practical Financial Optimization: Decision Making for Financial Engineers - Hardcover

Zenios, Stavros A.

Hardcover

ISBN 10: 1405132000 ISBN 13: 9781405132008

Publisher: Wiley-Blackwell, 2008

Synopsis

Practical Financial Optimization is a comprehensive guide to optimization techniques in financial decision making. This book illuminates the relationship between theory and practice, providing the readers with solid foundational knowledge.

• 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
• Analyizes real world applications and implications for financial engineers
• Includes a list of models and a section on notations that includes a glossary of symbols and abbreviations

About this title

About the Author

Stavros A. Zenios is Professor of Business and Public Administration at the University of Cyprus, Director of the HERMES European Center of Excellence on Computational Finance and Economics, and Senior Fellow at the Wharton Financial Institutions Center of the University of Pennsylvania. His previous books include Financial Optimization (1996); Parellel Optimization: Theory, Algorithms, and Applications (1997); and Performance of Financial Institutions: Efficiency, Innovation, Regulation (2000).

From the Back Cover

This book gives a comprehensive account of financial optimization models used to support decision-making for financial engineers. It starts with the classical static mean-variance analysis and portfolio immunization, moves on to scenario-based models, and builds towards multi-period dynamic portfolio optimization.

As the story unfolds, the relationships between classes of models are revealed. Once the foundations are laid with several building blocks and the broad landscape of financial optimization is charted, the book moves on to analyze several real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations. The math prerequisite is optimization with matrix algebra.

As the story unfolds, the relationships between classes of models are revealed. Once the foundations are laid with several building blocks and the broad landscape of financial optimization is charted, the book moves on to analyze several real-world applications. In this way the reader acquires not only solid knowledge of the foundations of financial optimization, but also a taste for the large-scale models that can be grounded on these foundations. The math prerequisite is optimization with matrix algebra.

Edition details

• Publisher: Wiley-Blackwell
• Publication date: 2008
• Language: English
• ISBN 10: 1405132000
• ISBN 13: 9781405132008
• Binding: Hardcover
• Edition number: 1
• Number of pages: 432