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Portfolio Optimization and Option Pricing
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435页
A good book for portfolio optimization!
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This book is dedicated to Manfred Gilli1
1
Preface2
Manfred Gilli is a well known researcher on computation in economics and3
finance. He is the only known member of this community who has also been a4
rally racer. His many interests include fine wines, running Marathons, sailing5
and hill climbing. Despite this latter interest, Manfred has not particularly6
favoured hill climbing as a computational tool and has preferred extensive re-7
search in heuristic algorithms for computationally hard problems. His interests8
were initially focused on econometrics and subsequently moved to computa-9
tional finance. He has contributed extensively to the areas of model solution10
algorithms and optimization in finance. He has forged important links with11
the finance sector to ensure solid research collaboration, he has helped the12
academic research community by the successful conferences he has organised13
and he has helped numerous researchers with their computational problems.14
The conferences Manfred has organised have contributed to the establishment15
of two communities. The first such conference was the Computational Eco-16
nomics and Finance Conference in Geneva, 1996, which helped establish the17
Society for Computational Economics. The most recent such conference was18
the Computational Management Science Meeting in Geneva, 2007.19
Manfred is the author of many research papers and edited volumes in20
computational economics and finance. He is currently the President of the21
Society for Computational Economics. This volume is dedicated to Manfred22
in recognition of his research activities and the generous help and support he23
has provided to young researchers.24
All chapters in this book have been reviewed by at least two referees.25
The editors are most grateful to these anonymous referees for their contribu-26
tion which helped to increase the quality of the papers substantially. Further-27
more, the editors owe thanks to the following people for their support in proof28
reading and L
A
T
E
Ximplementation: Vahidin Jeleskovic, Marianna Lyra, Mark29
Meyer, Christoph Preussner, Chris Sharpe, and Markus Spory.30
VIII Preface
Nicosia, London, and Gießen, Erricos J. Kontoghiorghes1
December 2007 Ber¸cRustem2
Peter Winker3
1
Contents2
Part I Portfolio Optimization and Option Pricing3
Threshold Accepting Approach to Improve Bound-based4
Approximations for Portfolio Optimization5
Daniel Kuhn, Panos Parpas, Ber¸cRustem .......................... 36
Risk Preferences and Loss Aversion in Portfolio Optimization7
Dietmar Maringer ............................................... 278
Generalized Extreme Value Distribution and Extreme9
Economic Value at Risk (EE-VaR)10
Amadeo Alentorn, Sheri Markose .................................. 4711
Portfolio Optimization under VaR Constraints Based on12
Dynamic Estimates of the Variance-Covariance Matrix13
Katja Specht, Peter Winker ....................................... 7314
Optimal Execution of Time-Constrained Portfolio15
Transactions16
Farid AitSahlia, Yuan-Chyuan Sheu, Panos M. Pardalos .............. 9517
Semidefinite Programming Approaches for Bounding Asian18
Option Prices19
Georgios V. Dalakouras, Roy H. Kwon, Panos M. Pardalos ............10320
The Evaluation of Discrete Barrier Options in a Path Integral21
Framewo rk22
Carl Chiarella, Nadima El–Hassan, Adam Kucera ....................11723
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