Practical Financial Optimization: A Library of GAMS Models

Acknowledgments.

Notation.

List of Models.

1 An Introduction to the GAMS Modeling System.

1.1 Preview.

1.2 Basics of Modeling.

1.3 The GAMS Language.

1.4 Getting Started.

Notes and References.

2 Data Management.

2.1 Preview.

2.2 Basics of Data Handling.

2.3 Data Generation.

2.4 A Complete Example: Portfolio Dedication.

3 Mean-Variance Portfolio Optimization.

3.1 Preview.

3.2 Basics of Mean-Variance Models.

3.3 Sharpe Ratio Model.

3.4 Diversification Limits and Transaction Costs.

3.5 International Portfolio Management.

4 Portfolio Models for Fixed Income.

4.1 Preview.

4.2 Basics of Fixed-Income Modeling.

4.3 Dedication Models.

4.4 Immunization Models.

4.5 Factor Immunization Model.

4.6 Factor Immunization for Corporate Bonds.

5 Scenario Optimization.

5.1 Preview.

5.2 Data sets.

5.3 Mean Absolute Deviation Models.

5.4 Regret Models.

5.5 Conditional Value-at-Risk Models.

5.6 Utility Maximization Models.

5.7 Put/Call Efficient Frontier Models.

6 Dynamic Portfolio Optimization with Stochastic Programming.

6.1 Preview.

6.2 Dynamic Optimization for Fixed-Income Securities.

6.3 Formulating Two-Stage Stochastic Programs.

6.4 Single Premium Deferred Annuities: A Multi-stage Stochastic Program.

7 Index Funds.

7.1 Preview.

7.2 Models for Index Funds.

8 Case Studies in Financial Optimization.

8.1 Preview.

8.2 Application I: International Asset Allocation.

8.3 Application II: Corporate Bond Portfolio Management.

8.4 Application III: Insurance Policies with Guarantees.

8.5 Application IV: Personal Financial Planning.

Bibliography.

Index.