Zenios

Financial Optimization

Herausgeber: Zenios, Stavros A.

• Broschiertes Buch

Produktbeschreibung

The book covers a wide range of topics: portfolio management of equities and fixed-income investments, the pricing of complex insurance, mortgage and other asset-backed products, and models for risk-management and diversification. Standard models are presented and analysed, and the problem of portfolio management under uncertainty is examined. Key issues are analysed, mathematical models proposed, and current practices are reviewed and evaluated.

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Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 372
• Erscheinungstermin: 11. Juni 2002
• Englisch
• Abmessung: 229mm x 152mm x 22mm
• Gewicht: 603g
• ISBN-13: 9780521577779
• ISBN-10: 0521577772
• Artikelnr.: 21726022

Inhaltsangabe

Preface Patrick T. Harker; Introduction Stavros A. Zenios; Part I. General
Overview: 1. Some financial optimization models: I Risk management H. Dahl,
A. Meeraus, and S. Zenios; 2. Some financial optimization models: II
Financial engineering H. Dahl, A. Meeraus and S. Zenios; 3. Empirical tests
of optimization P. Muller; 4. Recent results in mean-variance analysis H.
Markowitz; Part II. Applications: 5. An economic approach to the valuation
of single premium deferred annuities M. Asay, P. J. Bouyoucos and A. M.
Marciano; 6. Optimal horizon portfolio return under varying interest rate
scenarios E. Adamidou, Y. Ben-Dov, L. Prendergast and V. Pica; 7.
Optimization tools for the financial manager's desk M. Avriel; 8. A
flexible approach to interest rate risk management H. Dahl; 9. Currency
hedging strategies for US investments in Japan, and Japanese investments in
the US W. Ziemba; Part III. Methodologies: 10. Incorporating transaction
costs in models for asset allocations J. Mulvey; 11. Bond portfolio
analysis using integer programming R. Nauss; 12. Scenario immunization R.
Dembo; 13. Mortgages and Markov chains: a simplified evaluation model P.
Zipkin; 14. Parallel Monte Carlo simulation of mortgage backed securities
S. Zenios.