Optimal Financial Decision Making under Uncertainty

✍ Scribed by Giorgio Consigli, Daniel Kuhn, Paolo Brandimarte (eds.)

• Publisher: Springer International Publishing
• Year: 2017
• Tongue: English
• Leaves: 310
• Series: International Series in Operations Research & Management Science 245
• Edition: 1
• Category: Library

✦ Synopsis

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. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management.

The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows:

• Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas.
  
• Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications
  
• The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods.
  
• Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems.
  
• Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.

✦ Table of Contents

Front Matter....Pages i-xix
Multi-Period Risk Measures and Optimal Investment Policies....Pages 1-34
Asset Price Dynamics: Shocks and Regimes....Pages 35-53
Scenario Optimization Methods in Portfolio Analysis and Design....Pages 55-87
Robust Approaches to Pension Fund Asset Liability Management Under Uncertainty....Pages 89-119
Liability-Driven Investment in Longevity Risk Management....Pages 121-136
Pricing Multiple Exercise American Options by Linear Programming....Pages 137-150
Optimizing a Portfolio of Liquid and Illiquid Assets....Pages 151-175
Stabilizing Implementable Decisions in Dynamic Stochastic Programming....Pages 177-200
The Growth Optimal Investment Strategy Is Secure, Too....Pages 201-223
Heuristics for Portfolio Selection....Pages 225-253
Optimal Financial Decision Making Under Uncertainty....Pages 255-290
Back Matter....Pages 291-298

✦ Subjects

Operation Research/Decision Theory;Macroeconomics/Monetary Economics//Financial Economics;Optimization