Zenios supplies the reader with a spectrum of optimization models, from simple to complex, and sage advice on how to use them. Practical financial optimization models by consiglio, nielsen and. Zenios, university of pennsylvania and university of. The book by zenios 2007 gives the stateoftheart in practical portfolio optimization models developed over the fifty years since markowitzs. Practical financial optimization a library of gams models andrea consiglio university of palermo s0ren s.
This book clearly presents the exciting symbiosis between the fields of finance and management scienceoperations research. Gams consists of a language which allows a highlevel, algebraic representation of mathematical models and a set of solvers numerical algorithms to solve them. Practical financial optimization models by consiglio. Zenios university of cyprus, and the wharton financial institutions centerwiley a john wiley and sons, ltd.
Decision making for financial engineers blackwell publishing, cambridge, ma, 2007, henceforth abbreviated as pfo. Practical financial optimization models by consiglio, nielsen and zenios. A library of gams models, the authors provide a diverse set of models for portfolio optimization, based on the general algebraic modelling system. Prominent researchers present the state of the art in financial optimization, while analysts from industry discuss the latest business techniques practised by financial firms in new york, london and tokyo. Google drive or other file sharing services please confirm that you accept the.
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