Optimization Methods in Finance

Cornuejols, Gerard; Pena, Javier; Tutuncu, Reha

ISBN 10: 1107056748 / ISBN 13: 9781107056749

Published by Cambridge University Press, 2018

May show signs of wear, highlighting, writing, and previous use. This item may be a former library book with typical markings. No guarantee on products that contain supplements Your satisfaction is 100% guaranteed. Twenty-five year bookseller with shipments to over fifty million happy customers. Seller Inventory # 31827047-5

Synopsis:

Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.

About the Authors: Gérard Cornuéjols is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. He is a member of the National Academy of Engineering and has received numerous prizes for his research contributions in integer programming and combinatorial optimization, including the Lanchester Prize, the Fulkerson Prize, the Dantzig Prize, and the von Neumann Theory Prize.

Javier Peña is a Professor of Operations Research at the Tepper School of Business, Carnegie Mellon University, Pennsylvania. His research explores the myriad of challenges associated with large-scale optimization models and he has published numerous articles on optimization, machine learning, financial engineering, and computational game theory. His research has been supported by grants from the National Science Foundation, including a prestigious CAREER award.

Reha Tütüncü is the Chief Risk Officer at SECOR Asset Management and an adjunct professor at Carnegie Mellon University, Pennsylvania. He has previously held senior positions at Goldman Sachs Asset Management and AQR Capital Management focusing on quantitative portfolio construction, equity portfolio management, and risk management.

Bibliographic Details

Title: Optimization Methods in Finance
Publisher: Cambridge University Press
Publication Date: 2018
Binding: Hardcover
Condition: good
Edition: 2nd Edition