Computational Methods in Decision-Making, Economics and Finance

✍ Scribed by Domenico Mignacca, Attilio Meucci (auth.), Erricos John Kontoghiorghes, Berc Rustem, Stavros Siokos (eds.)

Publisher: Springer US
Year: 2002
Tongue: English
Leaves: 626
Series: Applied Optimization 74
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria.

✦ Table of Contents

Front Matter....Pages i-xxi
Front Matter....Pages 1-1
Multi-Period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio....Pages 3-14
Rebalancing Strategies for Long-Term Investors....Pages 15-33
Multistage Stochastic Programming in Computational Finance....Pages 35-47
A Multistage Stochastic Optimization Model for the Cash Management Problem....Pages 49-75
Scenario Specification for Robust Portfolio Analysis....Pages 77-88
A Linear Matrix Inequalities Approach to Robust Mean-Semivariance Portfolio Optimization....Pages 89-107
A Review of Perturbative Approaches for Robust Optimal Portfolio Problems....Pages 109-138
Maxmin Portfolios in Models Where Immunization is Not Feasible....Pages 139-165
A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall....Pages 167-183
Borrowing Constraints, Portfolio Choice, and Precautionary Motives....Pages 185-212
The Risk Profile Problem for Stock Portfolio Optimization....Pages 213-230
A Scenario-Based Heuristic for a Capacitated Transportation-Inventory Problem with Stochastic Demands....Pages 231-248
Utility Maximisation with a Time Lag in Trading....Pages 249-269
Simulations for Hedging Financial Contracts with Optimal Decisions....Pages 271-296
Automatic Differentiation for Computational Finance....Pages 297-310
Front Matter....Pages 311-311
Interest Rate Barrier Options....Pages 313-324
Pricing American Put Options by Fast Solutions of the Linear Complementarity Problem....Pages 325-338
Hedging with Monte Carlo Simulation....Pages 339-353
In Search of Deterministic Complex Patterns in Commodity Prices....Pages 355-377
A Review of Stock Market Prediction Using Computational Methods....Pages 379-403
Front Matter....Pages 311-311
Numerical and Computational Strategies for Solving Seemingly Unrelated Regression Models....Pages 405-427
Use of Time-Frequency Representations in the Analysis of Stock Market Data....Pages 429-453
Opportunity Cost Algorithms for Combinatorial Auctions....Pages 455-479
A Finite States Contraction Algorithm for Dynamic Models....Pages 481-500
Traffic Network Equilibrium and the Environment....Pages 501-523
Mathematical Model of Technology Diffusion in Developing Countries....Pages 525-539
Estimation of Stochastic Volatility Models....Pages 541-556
Genetic Programming with Syntactic Restrictions Applied to Financial Volatility Forecasting....Pages 557-581
Simulation-Based Tests of PTM....Pages 583-603
Credit Risk Assessment Using a Multicriteria Hierarchical Discrimination Approach....Pages 605-622
Back Matter....Pages 623-626

✦ Subjects

Operation Research/Decision Theory; Algorithms; Management of Computing and Information Systems; Optimization

📜 SIMILAR VOLUMES

Computational Intelligence Paradigms in

📁 Computational Intelligence Paradigms in Economic and Financial Decision Making

✍ Marina Resta (auth.) 📂 Library 📅 2016 🏛 Springer International Publishing 🌐 English

The book focuses on a set of cutting-edge research techniques, highlighting the potential of soft computing tools in the analysis of economic and financial phenomena and in providing support for the decision-making process. In the first part the textbook presents a comprehensive and self-conta

Complex decision-making in economy and f

📁 Complex decision-making in economy and finance

✍ Corsi, Patrick; Massotte, Pierre 📂 Library 📅 2020 🏛 ISTE, Ltd., Wiley 🌐 English

Pertinent to modern industry, administration, finance and society, the most pressing issue for firms today is how to reapproach the way we think and work in business. With topics ranging from improving productivity and coaxing economic growth after periods of market inactivity, Complex Decision-Maki

Psychology of Decision Making in Economi

📁 Psychology of Decision Making in Economics, Business and Finance

✍ Klaus P. Hofmann 📂 Library 📅 2007 🏛 Nova Science Publishers 🌐 English

In a fast-moving world, the necessity of making decisions, and preferably good ones, has become even more difficult. One reason is the variety and number of choices perhaps available which often are not presented or understood. Alternatives are often unclear and complex paths to them confusing and m

Perception-based Data Mining and Decisio

📁 Perception-based Data Mining and Decision Making in Economics and Finance

✍ Batyrshin I. (ed.), Kacprzyk J. (ed.), Sheremetov L. (ed.) 📂 Library 📅 2007 🌐 English

The primary goal of this book is to present to the scientific and management communities a selection of applications using recent Soft Computing (SC) and Computing with Words and Perceptions (CWP) models and techniques meant to solve some economics and financial problems that are of utmost importanc

Perception-based Data Mining and Decisio

📁 Perception-based Data Mining and Decision Making in Economics and Finance

✍ Janusz Kacprzyk, Slawomir Zadrozny (auth.), Ildar Batyrshin, Janusz Kacprzyk, Le 📂 Library 📅 2007 🏛 Springer-Verlag Berlin Heidelberg 🌐 English

The primary goal of this book is to present to the scientific and management communities a selection of applications using recent Soft Computing (SC) and Computing with Words and Perceptions (CWP) models and techniques meant to solve some economics and financial problems that are of utmost imp

Computational Methods for Risk Managemen

📁 Computational Methods for Risk Management in Economics and Finance

✍ Marina Resta (editor) 📂 Library 📅 2020 🏛 MDPI AG 🌐 English

At present, computational methods have received considerable attention in economics and finance as an alternative to conventional analytical and numerical paradigms. This Special Issue brings together both theoretical and application-oriented contributions, with a focus on the use of computationa