Practical Financial Optimization: Decision Making for Financial Engineers实用金融最优化：金融师的决策
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作者： Stavros A. Zenios著
出 版 社：
出版时间： 2007-5-1字数：版次： 1页数： 400印刷时间： 2007/05/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9781405132015包装： 平装内容简介
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
目录
Foreword, by Harry M. Markowitz
Preface
Acknowledgments
Text Credits
Notation
List of Models
IINTRODUCTION
1An Optimization View of Financial Engineering
1.1 Preview
1.2 Optimization in Financial Engineering
1.3 Enterprise-Wide Risk Management
1.3.1 What is enterprise-wide risk management?
1.3.2 Enterprise-wide risk management for a single business . .
1.3.3 Enterprise-wide risk management for a business portfolio.
1.3.4 Integrating design, pricing, funding, and capitalization . .
1.3.5 Components of enterprise-wide risk management
1.3.6 Why enterprise-wide risk management is important
1.3.7 Asset and liability management
1.4 The Scope for Optimization in Enterprise-Wide Risk Management
1.4.1 Caveat: What to optimize?
1.5 Overview of Financial Optimization Models
1.5.1 Basics of risk management
1.5.2 Mean-variance portfolio optimization
1.5.3 Portfolio models for fixed income
1.5.4 Scenario optimization
1.5.5 Dynamic portfolio optimization
1.5.6 Index funds
1.5.7 Designing financial products
1.5.8 Scenario generation
1.5.9 Applications
1.6 Postview
Notes and References
2Basics of Risk Management
2.1 Preview
2.2 A Classification of Financial Risks
2.3 Risk Measurement for Equities
……
II PORTFOLIO OPTIMIZATION MODELS
3 Mean-Variance Analysis
4 Portfolio Models for Fixed Income
5 Scenario Optimization
6 Dynamic Portfolio Optimization with Stochastic Programming
7Index Funds
8 Designing Financial Products
9 Scenario Generation
III APPLICATIONS
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
A Basics of Optimization
B Basics of Probability Theory
C Stochastic Processes
Bibliography
Index
