Algorithms for worst-case design and applications to risk management

Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve furth...

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Bibliographic Details
Main Author Rustem, Berc
Other Authors Howe, Melendres
Format Electronic eBook
LanguageEnglish
Published Princeton, N.J. ; Oxford : Princeton University Press, ©2002.
Subjects
Algorithms.
Risk management > Mathematics.
elektronické knihy
electronic books
Online AccessFull text
ISBN140081460X
9781400814602
9781400825110
1400825113
9781680158960
1680158961
0691091544
1282157191
9781282157194
Physical Description1 online resource (xv, 389 pages)

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035 |a (OCoLC)52243294  |z (OCoLC)505073258  |z (OCoLC)535937342  |z (OCoLC)609845339  |z (OCoLC)647823296  |z (OCoLC)746601473  |z (OCoLC)815780783  |z (OCoLC)961542994  |z (OCoLC)961606066  |z (OCoLC)962635738  |z (OCoLC)962723218  |z (OCoLC)1087421027  |z (OCoLC)1243581721 
100 1 |a Rustem, Berc. 
245 1 0 |a Algorithms for worst-case design and applications to risk management /  |c Berç Rustem, Melendres Howe. 
260 |a Princeton, N.J. ;  |a Oxford :  |b Princeton University Press,  |c ©2002. 
300 |a 1 online resource (xv, 389 pages) 
336 |a text  |b txt  |2 rdacontent 
337 |a computer  |b c  |2 rdamedia 
338 |a online resource  |b cr  |2 rdacarrier 
504 |a Includes bibliographical references and index. 
505 0 |a Contents; Preface; Chapter 1. Introduction to minimax; Chapter 2. A survey of continuous minimax algorithms; Chapter 3. Algorithms for computing saddle points; Chapter 4. A quasi-Newton algorithm for continuous minimax; Chapter 5. Numerical experiments with continuous minimax algorithms; Chapter 6. Minimax as a robust strategy for discrete rival scenarios; Chapter 7. Discrete minimax algorithm for nonlinear equality and inequality constrained models; Chapter 8. A continuous minimax strategy for options hedging; Chapter 9. Minimax and asset allocation problems. 
505 8 |a Chapter 10. Asset/liability management under uncertaintyChapter 11. Robust currency management; Index. 
506 |a Plný text je dostupný pouze z IP adres počítačů Univerzity Tomáše Bati ve Zlíně nebo vzdáleným přístupem pro zaměstnance a studenty 
520 |a Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon- 
590 |a Knovel  |b Knovel (All titles) 
650 0 |a Algorithms. 
650 0 |a Risk management  |x Mathematics. 
655 7 |a elektronické knihy  |7 fd186907  |2 czenas 
655 9 |a electronic books  |2 eczenas 
700 1 |a Howe, Melendres. 
776 0 8 |i Print version:  |a Rustem, Berc.  |t Algorithms for worst-case design and applications to risk management.  |d Princeton, N.J. ; Oxford : Princeton University Press, ©2002  |z 0691091544  |w (OCoLC)48931090 
856 4 0 |u https://proxy.k.utb.cz/login?url=https://app.knovel.com/hotlink/toc/id:kpAWCDARM3/algorithms-for-worst?kpromoter=marc  |y Full text 

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