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Stochastic Programming

Stochastic Programming Author Horand Gassmann
ISBN-10 9789814407502
Release 2013
Pages 518
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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.

Stochastic Optimization Models in Finance

Stochastic Optimization Models in Finance Author W. T. Ziemba
ISBN-10 9781483273990
Release 2014-05-12
Pages 736
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Stochastic Optimization Models in Finance focuses on the applications of stochastic optimization models in finance, with emphasis on results and methods that can and have been utilized in the analysis of real financial problems. The discussions are organized around five themes: mathematical tools; qualitative economic results; static portfolio selection models; dynamic models that are reducible to static models; and dynamic models. This volume consists of five parts and begins with an overview of expected utility theory, followed by an analysis of convexity and the Kuhn-Tucker conditions. The reader is then introduced to dynamic programming; stochastic dominance; and measures of risk aversion. Subsequent chapters deal with separation theorems; existence and diversification of optimal portfolio policies; effects of taxes on risk taking; and two-period consumption models and portfolio revision. The book also describes models of optimal capital accumulation and portfolio selection. This monograph will be of value to mathematicians and economists as well as to those interested in economic theory and mathematical economics.

Risk Sensitive Investment Management

Risk Sensitive Investment Management Author Mark H A Davis
ISBN-10 9789814578066
Release 2014-07-21
Pages 416
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Over the last two decades, risk-sensitive control has evolved into an innovative and successful framework for solving dynamically a wide range of practical investment management problems. This book shows how to use risk-sensitive investment management to manage portfolios against an investment benchmark, with constraints, and with assets and liabilities. It also addresses model implementation issues in parameter estimation and numerical methods. Most importantly, it shows how to integrate jump-diffusion processes which are crucial to model market crashes. With its emphasis on the interconnection between mathematical techniques and real-world problems, this book will be of interest to both academic researchers and money managers. Risk-sensitive investment management links stochastic control and portfolio management. Because of its distinct emphasis on integrating advanced theoretical concepts into practical dynamic investment management tools, this book stands out from the existing literature in fundamental ways. It goes beyond mainstream research in portfolio management in a traditional static setting. The theoretical developments build on contemporary research in stochastic control theory, but are informed throughout by the need to construct an effective and practical framework for dynamic portfolio management. This book fills a gap in the literature by connecting mathematical techniques with the real world of investment management. Readers seeking to solve key problems such as benchmarked asset management or asset and liability management will certainly find it useful. Contents:Diffusion Models:The Merton ProblemRisk-Sensitive Asset ManagementManaging Against a BenchmarkAsset and Liability ManagementInvestment ConstraintsInfinite Horizon ProblemsJump-Diffusion Models:Jumps in Asset PricesGeneral Jump-Diffusion SettingFund Separation and Fractional Kelly StrategiesManaging Against a Benchmark: Jump-Diffusion CaseAsset and Liability Management: Jump-Diffusion CaseImplementation:Factor and Securities ModelsCase StudiesNumerical MethodsFactor Estimation: Filtering and Black-Litterman Readership: Professionals, researchers, academics and graduate students in the field of investment management, stochastic optimization, stochastic analysis and probability, and quantitative finance. Key Features:Integrates advanced theoretical concepts into practical dynamic investmentDiscusses practical issues that will be relevant to practitioners, including parameter estimation, investment benchmarks, asset and liabilities management (ALM), investment constraints, and the Kelly criterionPresents a thorough treatment of jump diffusion models, including latest developments regarding classical solutions to jump diffusion control problemsWritten by professors with extensive experience on risk sensitive asset management and the relevant financial industry experienceKeywords:Stochastic Control;Risk Sensitive Control;Dynamic Investment Management;Benchmarked Asset Management;Asset and Liability Management;Jump Diffusion Processes;Lévy Processes;Hamilton–Jacobi–Bellman Equations;Classical Solutions;Viscosity Solutions;Kelly Criterion

The Fascination of Probability Statistics and their Applications

The Fascination of Probability  Statistics and their Applications Author Mark Podolskij
ISBN-10 9783319258263
Release 2015-12-26
Pages 527
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Collecting together twenty-three self-contained articles, this volume presents the current research of a number of renowned scientists in both probability theory and statistics as well as their various applications in economics, finance, the physics of wind-blown sand, queueing systems, risk assessment, turbulence and other areas. The contributions are dedicated to and inspired by the research of Ole E. Barndorff-Nielsen who, since the early 1960s, has been and continues to be a very active and influential researcher working on a wide range of important problems. The topics covered include, but are not limited to, econometrics, exponential families, Lévy processes and infinitely divisible distributions, limit theory, mathematical finance, random matrices, risk assessment, statistical inference for stochastic processes, stochastic analysis and optimal control, time series, and turbulence. The book will be of interest to researchers and graduate students in probability, statistics and their applications.

Modeling with Stochastic Programming

Modeling with Stochastic Programming Author Alan J. King
ISBN-10 9780387878171
Release 2012-06-19
Pages 176
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While there are several texts on how to solve and analyze stochastic programs, this is the first text to address basic questions about how to model uncertainty, and how to reformulate a deterministic model so that it can be analyzed in a stochastic setting. This text would be suitable as a stand-alone or supplement for a second course in OR/MS or in optimization-oriented engineering disciplines where the instructor wants to explain where models come from and what the fundamental issues are. The book is easy-to-read, highly illustrated with lots of examples and discussions. It will be suitable for graduate students and researchers working in operations research, mathematics, engineering and related departments where there is interest in learning how to model uncertainty. Alan King is a Research Staff Member at IBM's Thomas J. Watson Research Center in New York. Stein W. Wallace is a Professor of Operational Research at Lancaster University Management School in England.

Handbook of Risk Management in Energy Production and Trading

Handbook of Risk Management in Energy Production and Trading Author Raimund M. Kovacevic
ISBN-10 9781461490357
Release 2013-11-27
Pages 505
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This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.

Investing in the Modern Age

Investing in the Modern Age Author Rachel Ziemba
ISBN-10 9789814504751
Release 2013
Pages 563
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This book discusses many key topics in investment and risk management, the global economic situation and the shift in global investment strategies. It was largely written during the period of 2007-12, one of the most tumultuous times in global financial markets which called into question not only tenets of economic forecasting and also asset allocation and return strategies. It contains studies of how investors lose money in derivative markets, examples of those who did not and how these disasters could have been prevented. The authors draw some conclusions on the impact of the structural shifts currently underway in the global economy as well as how cyclical trends will affect these industries, the globe and key sectors. The authors zoom in on key growth areas, including emerging markets, their interlinkages and financial trends. The book also covers risk arbitrage and mean reversion strategies in financial and sports betting markets, plus incentives, volatility aspects, risk taking and investments strategies used by hedge funds and university endowments. Topics such as stock market crash predictions, asset liability planning models, various players in financial markets and the evaluation of the greatest investors are also discussed. The book presents tools and case studies of real applications for analyzing a wide variety of investment returns and better assessing the risks which many investors have preferred to ignore in the search of returns. Many security market regularities or anomalies are discussed including political party and January effects as is the process of building scenarios and using Kelly and fractional Kelly strategies to optimize returns.

Optimization Methods in Finance

Optimization Methods in Finance Author Gérard Cornuéjols
ISBN-10 9781107056749
Release 2018-08-09
Pages 347
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Full treatment, from model formulation to computational implementation, of optimization techniques that solve central problems in finance.

Introduction to Stochastic Programming

Introduction to Stochastic Programming Author John R. Birge
ISBN-10 9781461402374
Release 2011-06-15
Pages 485
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The aim of stochastic programming is to find optimal decisions in problems which involve uncertain data. This field is currently developing rapidly with contributions from many disciplines including operations research, mathematics, and probability. At the same time, it is now being applied in a wide variety of subjects ranging from agriculture to financial planning and from industrial engineering to computer networks. This textbook provides a first course in stochastic programming suitable for students with a basic knowledge of linear programming, elementary analysis, and probability. The authors aim to present a broad overview of the main themes and methods of the subject. Its prime goal is to help students develop an intuition on how to model uncertainty into mathematical problems, what uncertainty changes bring to the decision process, and what techniques help to manage uncertainty in solving the problems. In this extensively updated new edition there is more material on methods and examples including several new approaches for discrete variables, new results on risk measures in modeling and Monte Carlo sampling methods, a new chapter on relationships to other methods including approximate dynamic programming, robust optimization and online methods. The book is highly illustrated with chapter summaries and many examples and exercises. Students, researchers and practitioners in operations research and the optimization area will find it particularly of interest. Review of First Edition: "The discussion on modeling issues, the large number of examples used to illustrate the material, and the breadth of the coverage make 'Introduction to Stochastic Programming' an ideal textbook for the area." (Interfaces, 1998)

Stochastic Modeling in Economics and Finance

Stochastic Modeling in Economics and Finance Author Jitka Dupacova
ISBN-10 9780306481673
Release 2006-04-18
Pages 386
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In Part I, the fundamentals of financial thinking and elementary mathematical methods of finance are presented. The method of presentation is simple enough to bridge the elements of financial arithmetic and complex models of financial math developed in the later parts. It covers characteristics of cash flows, yield curves, and valuation of securities. Part II is devoted to the allocation of funds and risk management: classics (Markowitz theory of portfolio), capital asset pricing model, arbitrage pricing theory, asset & liability management, value at risk. The method explanation takes into account the computational aspects. Part III explains modeling aspects of multistage stochastic programming on a relatively accessible level. It includes a survey of existing software, links to parametric, multiobjective and dynamic programming, and to probability and statistics. It focuses on scenario-based problems with the problems of scenario generation and output analysis discussed in detail and illustrated within a case study.

Handbook Of The Fundamentals Of Financial Decision Making In 2 Parts

Handbook Of The Fundamentals Of Financial Decision Making  In 2 Parts Author Maclean Leonard C
ISBN-10 9789814417365
Release 2013-05-10
Pages 940
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This handbook in two parts covers key topics of the theory of financial decision making. Some of the papers discuss real applications or case studies as well. There are a number of new papers that have never been published before especially in Part II.Part I is concerned with Decision Making Under Uncertainty. This includes subsections on Arbitrage, Utility Theory, Risk Aversion and Static Portfolio Theory, and Stochastic Dominance. Part II is concerned with Dynamic Modeling that is the transition for static decision making to multiperiod decision making. The analysis starts with Risk Measures and then discusses Dynamic Portfolio Theory, Tactical Asset Allocation and Asset-Liability Management Using Utility and Goal Based Consumption-Investment Decision Models.A comprehensive set of problems both computational and review and mind expanding with many unsolved problems are in an accompanying problems book. The handbook plus the book of problems form a very strong set of materials for PhD and Masters courses both as the main or as supplementary text in finance theory, financial decision making and portfolio theory. For researchers, it is a valuable resource being an up to date treatment of topics in the classic books on these topics by Johnathan Ingersoll in 1988, and William Ziemba and Raymond Vickson in 1975 (updated 2nd edition published in 2006).

The Kelly Capital Growth Investment Criterion

The Kelly Capital Growth Investment Criterion Author Leonard C. MacLean
ISBN-10 9789814293495
Release 2011
Pages 853
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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.

The Adventures Of A Modern Renaissance Academic In Investing And Gambling

The Adventures Of A Modern Renaissance Academic In Investing And Gambling Author Ziemba William T
ISBN-10 9789813148536
Release 2017-08-23
Pages 484
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The Adventures Of A Modern Renaissance Academic In Investing And Gambling has been writing in one form or another for most of life. You can find so many inspiration from The Adventures Of A Modern Renaissance Academic In Investing And Gambling also informative, and entertaining. Click DOWNLOAD or Read Online button to get full The Adventures Of A Modern Renaissance Academic In Investing And Gambling book for free.

Manufacturing Operations Management

Manufacturing Operations Management Author Min-Jung Yoo
ISBN-10 1786345331
Release 2018-05
Pages 286
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The main purpose of this book is to introduce the essential theories and tools for production (manufacturing operations) management for students in engineering, junior professionals in supply chain and production managers who are starting their career in a manufacturing firm. With a focus on selected key techniques and a practical application of these skills, the book uses a real-world inspired case studies while providing readers with in-depth exploration. Designed as a coaching handbook for instructors or motivated self-learners, it is an ideal resource for project-based learning. It is suitable for graduates in technology management and engineering, and professionals in the field of manufacturing who want to revise their practical knowledge while enhancing theoretical background.

Recent Advances in Data Mining of Enterprise Data

Recent Advances in Data Mining of Enterprise Data Author Thunshun Warren Liao
ISBN-10 9789812779854
Release 2008-01
Pages 786
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The main goal of the new field of data mining is the analysis of large and complex datasets. Some very important datasets may be derived from business and industrial activities. This kind of data is known as ?enterprise data?. The common characteristic of such datasets is that the analyst wishes to analyze them for the purpose of designing a more cost-effective strategy for optimizing some type of performance measure, such as reducing production time, improving quality, eliminating wastes, or maximizing profit. Data in this category may describe different scheduling scenarios in a manufacturing environment, quality control of some process, fault diagnosis in the operation of a machine or process, risk analysis when issuing credit to applicants, management of supply chains in a manufacturing system, or data for business related decision-making.

Approximate Dynamic Programming

Approximate Dynamic Programming Author Warren B. Powell
ISBN-10 0470182954
Release 2007-10-05
Pages 480
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Approximate Dynamic Programming has been writing in one form or another for most of life. You can find so many inspiration from Approximate Dynamic Programming also informative, and entertaining. Click DOWNLOAD or Read Online button to get full Approximate Dynamic Programming book for free.

Multiple Criteria Decision Analysis State of the Art Surveys

Multiple Criteria Decision Analysis  State of the Art Surveys Author Salvatore Greco
ISBN-10 9780387230818
Release 2006-01-20
Pages 1048
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Multiple Criteria Decision Analysis: State of the Art Surveys provides survey articles and references of the seminal or state-of-the-art research on MCDA. The material covered ranges from the foundations of MCDA, over various MCDA methodologies (outranking methods, multiattribute utility and value theories, non-classical approaches) to multiobjective mathematical programming, MCDA applications, and software. This vast amount of material is organized in 8 parts, with a total of 25 chapters. More than 2000 references are listed.