By Soren S Nielson, Andrea Consiglio, Stavros A. Zenios
In Practical monetary Optimization: A Library of GAMS Models, the authors supply a various set of versions for portfolio optimization, in response to the final Algebraic Modelling procedure. ‘GAMS’ contains a language which permits a high-level, algebraic illustration of mathematical versions and a suite of solvers – numerical algorithms – to resolve them. The approach used to be built in keeping with the necessity for strong and versatile front-end instruments to regulate huge, real-life models.
The paintings starts with an outline of the constitution of the GAMS language, and discusses concerns with regards to the administration of knowledge in GAMS types. The authors offer versions for mean-variance portfolio optimization which tackle the query of buying and selling off the portfolio anticipated go back opposed to its possibility. fastened source of revenue portfolio optimization types practice common calculations and make allowance the person to bootstrap a yield curve from bond costs. commitment types enable for normal portfolio commitment with borrowing and re-investment judgements, and are prolonged to accommodate maximisation of horizon go back and to include a number of sensible concerns at the portfolio tradeability. Immunization types supply for the issue immunization of portfolios of treasury and company bonds.
The scenario-based portfolio optimization challenge is addressed with suggest absolute deviation versions, monitoring types, remorse versions, conditional VaR versions, anticipated software maximization types and put/call effective frontier types. The authors hire stochastic programming for dynamic portfolio optimization, constructing stochastic commitment versions as stochastic extensions of the fastened source of revenue versions mentioned in bankruptcy four. Two-stage and multi-stage stochastic courses expand the state of affairs versions analysed in bankruptcy five to permit dynamic rebalancing of portfolios as time evolves and new info turns into identified. types for structuring index money and hedging rate of interest threat on overseas portfolios also are provided.
The ultimate bankruptcy presents a suite of ‘case studies’: versions for large-scale purposes of portfolio optimization, which are used because the foundation for the advance of industrial help structures to fit any exact standards, together with types for the administration of partaking policies and private asset allocation.
The name might be a important consultant for quantitative builders and analysts, portfolio and asset managers, funding strategists and complicated scholars of finance.