Download or read book Stochastic Programming written by Horand Gassmann and published by World Scientific. This book was released on 2013 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems.

Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

Download or read book Stochastic Programming Applications In Finance Energy Planning And Logistics written by Horand I Gassmann and published by World Scientific. This book was released on 2012-11-28 with total page 549 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book shows the breadth and depth of stochastic programming applications. All the papers presented here involve optimization over the scenarios that represent possible future outcomes of the uncertainty problems. The applications, which were presented at the 12th International Conference on Stochastic Programming held in Halifax, Nova Scotia in August 2010, span the rich field of uses of these models. The finance papers discuss such diverse problems as longevity risk management of individual investors, personal financial planning, intertemporal surplus management, asset management with benchmarks, dynamic portfolio management, fixed income immunization and racetrack betting. The production and logistics papers discuss natural gas infrastructure design, farming Atlantic salmon, prevention of nuclear smuggling and sawmill planning. The energy papers involve electricity production planning, hydroelectric reservoir operations and power generation planning for liquid natural gas plants. Finally, two telecommunication papers discuss mobile network design and frequency assignment problems./a

Download or read book Applications of Stochastic Programming written by Stein W. Wallace and published by SIAM. This book was released on 2005-01-01 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: Consisting of two parts, this book presents papers describing publicly available stochastic programming systems that are operational. It presents a diverse collection of application papers in areas such as production, supply chain and scheduling, gaming, environmental and pollution control, financial modeling, telecommunications, and electricity.

Download or read book Harry Markowitz written by Harry Markowitz and published by World Scientific. This book was released on 2009-03-03 with total page 719 pages. Available in PDF, EPUB and Kindle. Book excerpt: Harry M Markowitz received the Nobel Prize in Economics in 1990 for his pioneering work in portfolio theory. He also received the von Neumann Prize from the Institute of Management Science and the Operations Research Institute of America in 1989 for his work in portfolio theory, sparse matrices and the SIMSCRIPT computer language. While Dr Markowitz is well-known for his work on portfolio theory, his work on sparse matrices remains an essential part of linear optimization calculations. In addition, he designed and developed SIMSCRIPT OCo a computer programming language. SIMSCRIPT has been widely used for simulations of systems such as air transportation and communication networks."

Download or read book Forecasting Models of Electricity Prices written by Javier Contreras and published by MDPI. This book was released on 2018-04-06 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Forecasting Models of Electricity Prices" that was published in Energies

Download or read book Project Valuation Using Real Options written by Prasad Kodukula and published by J. Ross Publishing. This book was released on 2006-07-15 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: Business leaders are frequently faced with investment decisions on new and ongoing projects. The challenge lies in deciding what projects to choose, expand, contract, defer, or abandon, and which method of valuation to use is the key tool in the process. This title presents a step-by-step, practical approach to real options valuation to make it easily understandable by practitioners as well as senior management. This systematic approach to project valuation helps you minimize upfront investment risks, exercise flexibility in decision making, and maximize the returns. Whereas the traditional decision tools such as discounted cash flow/net present value (DCF/NPV) analysis assume a “fixed” path ahead, real options analysis offers more flexible strategies. Considered one of the greatest innovations of modern finance, the real options approach is based on Nobel-prize winning work by three MIT economists, Fischer Black, Robert Merton, and Myron Scholes.

Download or read book Proceedings of the International Conference on Computational Intelligence and Sustainable Technologies written by Kedar Nath Das and published by Springer Nature. This book was released on 2022-02-12 with total page 758 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the collection of the accepted research papers presented in the 1st ‘International Conference on Computational Intelligence and Sustainable Technologies (ICoCIST-2021)’. This edited book contains the articles related to the themes on artificial intelligence in machine learning, big data analysis, soft computing techniques, pattern recognitions, sustainable infrastructural development, sustainable grid computing and innovative technology for societal development, renewable energy, and innovations in Internet of Things (IoT).

Download or read book Stochastic Optimization written by Stanislav Uryasev and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 438 pages. Available in PDF, EPUB and Kindle. Book excerpt: Stochastic programming is the study of procedures for decision making under the presence of uncertainties and risks. Stochastic programming approaches have been successfully used in a number of areas such as energy and production planning, telecommunications, and transportation. Recently, the practical experience gained in stochastic programming has been expanded to a much larger spectrum of applications including financial modeling, risk management, and probabilistic risk analysis. Major topics in this volume include: (1) advances in theory and implementation of stochastic programming algorithms; (2) sensitivity analysis of stochastic systems; (3) stochastic programming applications and other related topics. Audience: Researchers and academies working in optimization, computer modeling, operations research and financial engineering. The book is appropriate as supplementary reading in courses on optimization and financial engineering.

Download or read book Kelly Capital Growth Investment Criterion The Theory And Practice written by Leonard C Maclean and published by World Scientific. This book was released on 2011-02-10 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latan‚)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the ?Growth-Optimum-Model? "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hopp‚)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

Download or read book Extreme Events written by Malcolm Kemp and published by John Wiley & Sons. This book was released on 2010-12-28 with total page 337 pages. Available in PDF, EPUB and Kindle. Book excerpt: Taking due account of extreme events when constructing portfolios of assets or liabilities is a key discipline for market professionals. Extreme events are a fact of life in how markets operate. In Extreme Events: Robust Portfolio Construction in the Presence of Fat Tails, leading expert Malcolm Kemp shows readers how to analyse market data to uncover fat-tailed behaviour, how to incorporate expert judgement in the handling of such information, and how to refine portfolio construction methodologies to make portfolios less vulnerable to extreme events or to benefit more from them. This is the only text that combines a comprehensive treatment of modern risk budgeting and portfolio construction techniques with the specific refinements needed for them to handle extreme events. It explains in a logical sequence what constitutes fat-tailed behaviour and why it arises, how we can analyse such behaviour, at aggregate, sector or instrument level, and how we can then take advantage of this analysis. Along the way, it provides a rigorous, comprehensive and clear development of traditional portfolio construction methodologies applicable if fat-tails are absent. It then explains how to refine these methodologies to accommodate real world behaviour. Throughout, the book highlights the importance of expert opinion, showing that even the most data-centric portfolio construction approaches ultimately depend on practitioner assumptions about how the world might behave. The book includes: Key concepts and methods involved in analysing extreme events A comprehensive treatment of mean-variance investing, Bayesian methods, market consistent approaches, risk budgeting, and their application to manager and instrument selection A systematic development of the refinements needed to traditional portfolio construction methodologies to cater for fat-tailed behaviour Latest developments in stress testing and back testing methodologies A strong focus on the practical implementation challenges that can arise at each step in the process and on how to overcome these challenges “Understanding how to model and analyse the risk of extreme events is a crucial part of the risk management process. This book provides a set of techniques that allow practitioners to do this comprehensively.” Paul Sweeting, Professor of Actuarial Science, University of Kent “How can the likeliness of crises affect the construction of portfolios? This question is highly topical in times where we still have to digest the last financial collapse. Malcolm Kemp gives the answer. His book is highly recommended to experts as well as to students in the financial field.” Christoph Krischanitz, President Actuarial Association of Austria, Chairman WG “Market Consistency” of Groupe Consultatif

Download or read book Current Topics in Quantitative Finance written by Elio Canestrelli and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: The present volume collects a selection of revised papers which were presented at the 21st Euro Working Group on Financial Modelling Meeting, held in Venice (Italy), on October 29-31, 1997. The Working Group was founded in September 1986 in Lisbon with the objective of providing an international forum for the exchange of information and experience; encouraging research and interaction be tween financial economic theory and practice of financial decision mak ing, as well as circulating information among universities and financial institutions throughout Europe. The attendance to the Meeting was large and highly qualified. More than 80 participants, coming from 20 different Countries debated on 5 invited lectures and 40 communications in regular sessions. The sessions were located at the Island of San Servolo, on the Venetian lagoon, just in front of the Doges Palace. San Servolo Island is a natural oasis, in the midst of a unique urban setting, offering great relaxation in a peaceful park and a panoramic view of Venice. The friendly atmosphere added great benefit to the formal and informal discussions among the participants, -which is typical of E.W.G.F.M. Meetings. It is interesting to consider the story of the Meeting. The previous locations were held at Cyprus, Crete and Dubrovnik - former mile stones of the Venitian Republic influence on the Mediterranean Sea. Therefore, that this Meeting should be harboured in the heart of the Republic itself (namely, the Saint Mark basin), was only a matter of consequence.

Download or read book Optimization Methods in Finance written by Gerard Cornuejols and published by Cambridge University Press. This book was released on 2006-12-21 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: Optimization models play an increasingly important role in financial decisions. This is the first textbook devoted to explaining how recent advances in optimization models, methods and software can be applied to solve problems in computational finance more efficiently and accurately. Chapters discussing the theory and efficient solution methods for all major classes of optimization problems alternate with chapters illustrating their use in modeling problems of mathematical finance. The reader is guided through topics such as volatility estimation, portfolio optimization problems and constructing an index fund, using techniques such as nonlinear optimization models, quadratic programming formulations and integer programming models respectively. The book is based on Master's courses in financial engineering and comes with worked examples, exercises and case studies. It will be welcomed by applied mathematicians, operational researchers and others who work in mathematical and computational finance and who are seeking a text for self-learning or for use with courses.

Download or read book General Technical Report RM written by and published by . This book was released on 1988 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Ultimate Python for Fintech Solutions written by Bhagvan Kommadi and published by Orange Education Pvt Ltd. This book was released on 2024-07-12 with total page 302 pages. Available in PDF, EPUB and Kindle. Book excerpt: TAGLINE Creating Next Gen Apps in Finance KEY FEATURES ● Master the Python libraries and packages essential for financial applications, enabling robust development. ● Utilize Python for developing applications that process financial information, visualize data in diverse formats, and create insightful representations. ● Derive analytical insights from mathematical models integrated into Python applications for data-driven decision-making in finance and fintech. DESCRIPTION Dive into the dynamic world where finance meets fintech with Python's versatile capabilities in this 'Ultimate Python for Fintech Solutions'. Whether you're aiming to build secure trading platforms, conduct deep statistical analysis, or pioneer next-generation financial technologies, this book quips you with the knowledge, tools, and practical insights to succeed. This book starts with Python's foundational programming techniques, essential for understanding financial principles and laying the groundwork for robust applications. You will learn to build scalable solutions that handle complex financial data with ease by using Python for analysis, forecasting, and data visualization. Next, it moves to explore advanced topics like AI/ML applications tailored for finance, enabling you to unlock predictive insights and streamline decision-making processes. You will discover how Python integrates cutting-edge technologies such as Big Data and Blockchain, to offer innovative solutions for modern fintech challenges. By the end of this expansive book, you will gain the expertise needed to develop sophisticated financial applications, visualize data effectively across desktop and web platforms, and drive innovation in fintech. WHAT WILL YOU LEARN ● Learn to build robust applications tailored for financial analysis, modeling, and fintech solutions using Python. ● Learn to analyze large volumes of financial data, and visualize insights effectively. ● Apply advanced AI/ML techniques to predict trends, optimize financial strategies, and automate decision-making processes. ● Integrate Python with Big Data platforms and Blockchain technologies to work with massive datasets and decentralized financial systems. ● Acquire the knowledge and skills to innovate in the fintech space to address modern financial challenges and opportunities. WHO IS THIS BOOK FOR? This book is for working professionals, students, business managers, consultants, technical/functional analysts, anyone wishing to improve their skills in Fintech with Python. This book will be a great start for a programmer who wants to start on the Python tech stack and make a career in Fintech space. The prerequisites for the reader will be basic mathematics and advanced math topics such as time series, derivatives, and integrals. The outcome for the reader will be to understand mathematical modeling and to have capability to develop next gen financial apps. TABLE OF CONTENTS 1. Getting Started on Python Infrastructure and Building Financial Apps 2. Learning Financial Concepts Using Python 3. Data Structures and Algorithms Using Python 4. Object Oriented Programming Using Python 5. Building Simulation and Mathematical Analysis Tools Using Python 6. Stochastic Mathematics and Building Models Using Python 7. Prediction Algorithms Using Python 8. Data Science and Statistical Algorithms Using Python 9. Desktop and Web Charting Using Python 10. AI/ML Apps Using Python 11. Big Data/Blockchain-Based Solutions Using Python 12. Next Generation FinTech Apps Using Python with Financial Singularity Index

Download or read book Alternative Decision Making Models for Financial Portfolio Management Emerging Research and Opportunities written by Spaseski, Narela and published by IGI Global. This book was released on 2017-08-11 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economics is an integral aspect to every successful society, yet basic financial practices have gone unchanged for decades. Analyzing unconventional finance methods can provide new ways to ensure personal financial futures on an individual level, as well as boosting international economies. Alternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities is an essential reference source that discusses methods and techniques that make financial administration more efficient for professionals in economic fields. Featuring relevant topics such as mean-variance portfolio theory, decision tree analysis, risk protection strategies, and asset-liability management, this publication is ideal for academicians, students, economists, and researchers that would like to stay current on new and innovative methods to transform the financial realm.

Download or read book Ageing Population Risks written by Pavel Shevchenko and published by MDPI. This book was released on 2018-08-09 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a printed edition of the Special Issue "Ageing Population Risks" that was published in Risks