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Optimal Financial Decision Making under Uncertainty

Previously published in hardcover
BuchKartoniert, Paperback
298 Seiten
Englisch
Springererschienen am22.04.2018Softcover reprint of the original 1st ed. 2017
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.mehr
Verfügbare Formate
BuchGebunden
EUR160,49
BuchKartoniert, Paperback
EUR160,49

Produkt

KlappentextThe 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.
Details
ISBN/GTIN978-3-319-82396-6
ProduktartBuch
EinbandartKartoniert, Paperback
Verlag
Erscheinungsjahr2018
Erscheinungsdatum22.04.2018
AuflageSoftcover reprint of the original 1st ed. 2017
ReiheInternational Series in Operations Research & Management Science
Seiten298 Seiten
SpracheEnglisch
Gewicht502 g
IllustrationenXIX, 298 p. 49 illus., 39 illus. in color.
Artikel-Nr.45667228
Rubriken
GenreWirtschaft

Inhalt/Kritik

Inhaltsverzeichnis
Multi-period Risk Measures and Optimal Investment Policies.- Asset Price Dynamics: Shocks and Regimes.- Scenario Optimization Methods in Portfolio Analysis and Design.- Robust Approaches to Pension Fund Asset Liability Management under Uncertainty.- Liability-driven Investment in Longevity Risk Management.- Pricing Multiple Exercise American Options by Linear Programming.- Optimizing a Portfolio of Liquid and Illiquid Assets.- Stabilization Implementable Decisions in Dynamic Stochastic Programming.- The Growth Optimal Investment Strategy is Secure, Too.- Heuristics for Portfolio Selection.- Optimal Financial Decision Making under Uncertainty.mehr

Autor


Giorgio Consigli is currently professor of applied mathematics in economics and finance at the University of Bergamo. Dr. Consigli is Coordinator of the Stochastic Programming technical section within the Italian OR society and Board Member of the European Working Groups of Stochastic Programming and Commodity and Financial Modelling within the European OR society. He is Research Fellow of the School of Mathematical Studies of the University of Cambridge (UK) and the UK Institute of Mathematics and Applications (FIMA).

He holds an honours degree in Economics at the University La Sapienza in Rome, a Diploma in Financial intermediation in the same University and a PhD in mathematics at the University of Essex in the UK.

Dr. Consigli has a substantial cooperation and R&D record with the insurance and financial industry in Italy and Internationally on the development of advanced tools for risk management and asset-liability management. Throughout the years hemaintained an active cooperation with the academic and scientific communities specifically in the areas of stochastic optimization, financial modelling, risk modelling and static and dynamic portfolio selection. He is associate editor of the J of Management Mathematics (OUP), the J of Computational Management Science (Springer), the J of Financial Engineering and Risk Management (Inderscience), Quantitative Finance Letters (Taylor and Francis).

Daniel Kuhn holds the Chair of Risk Analytics and Optimization at EPFL. Before joining EPFL, he was a faculty member at Imperial College London (2007-2013) and a postdoctoral researcher at Stanford University (2005-2006). He received a PhD in Economics from the University of St. Gallen in 2004 and an MSc in Theoretical Physics from ETH Zurich in 1999. His research interests revolve around robust optimization and stochastic programming.


Paolo Brandimarte is full professor of quantitative methods at the Department of Mathematical Sciences of Politecnico di Torino, where he teaches Financial Engineering and Business Analytics. He is also adjunct professor at ESCP Europe. His primary research interests are in the application of optimization and statistical modelling to finance and supply chain management. He has written/edited more than ten books on these subjects.
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Herausgegeben:Consigli, Giorgio