Optimal financial decision making under uncertainty

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly...

Full description

Saved in:
Bibliographic Details
Other Authors Consigli, Giorgio (Editor), Kuhn, Daniel, 1975- (Editor), Brandimarte, Paolo (Editor)
Format Electronic eBook
LanguageEnglish
Published Cham : Springer, 2017.
SeriesInternational series in operations research & management science ; 245.
Subjects
Macroeconomics.
Mathematical optimization.
Operations research.
Decision making > Mathematical models.
elektronické knihy
electronic books
Online AccessFull text
ISBN9783319416137
9783319416113
ISSN0884-8289 ;
Physical Description1 online resource

Cover

Table of Contents:
  • Multi-period risk measures and optimal investment policies / Zhiping Chen, Giorgio Consigli, Jia Liu, Gang Li, Tianwen Fu, and Qianhui Hu
  • Asset price dynamics : shocks and regimes / Leonard MacLean and Yonggan Zhao
  • Scenario optimization methods in portfolio analysis and design / Giuseppe Carlo Calafiore
  • Robust approaches to pension fund asset liability management under uncertainty / Dessislava Pachamanova, Nalan Gulpinar, and Ethem Canakoglu
  • Liability-driven investment in longevity risk management / Helena Aro and Teemu Pennanen
  • Pricing multiple exercise American options by linear programming / Monia Giandomenico and Mustafa C. Pinar
  • Optimizing a portfolio of liquid and illiquid assets / John M. Mulvey, Woo Chang Kim, and Changle Lin
  • Stabilizing implementable decisions in dynamic stochastic programming / Michael A.H. Dempster, Elena A. Medova, and Yee Sook Yong
  • The growth optimal investment strategy is secure, too / Laszlo Gyorfi, Gyorgy Ottucsak, and Harro Walk
  • Heuristics for portfolio selection / Manfred Gilli and Enrico Schumann
  • Optimal financial decision making under uncertainty / Giorgio Consigli, Daniel Kuhn, and Paolo Brandimarte.

Similar Items