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Anotace knihy

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating, when possible and appropriate, a theoretical and computational integration between methods now-a-days largely regarded as alternatives. Increasingly in recent years financial management problems, such as strategic asset allocation, asset-liability management problems, as well as asset pricing problems, have been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume and the articles here presented is to facilitate the comprehension of the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume as such will include only theoretical contributions, which are nonetheless strictly related to applications and facilitate advances in this respect, spanning from modeling assumptions to numerical and computational issues. The volume will address different valuation problems common in finance. Namely related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management. These applications are considered and studied with different time horizons and decision spaces to provide a sufficient coverage of each problem class. The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, aimed at clarifying the pros and cons of the different methodologies relying on similar valuation problems and, as mentioned, facilitate a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be briefly summarized as follows: - Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas, from a theoretical and methodological viewpoint. - Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications, and possibly facilitating synergies between different methods. - The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods. - Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems. - Well defined boundaries in each application area between current operational and practical standards and desirable developments and ways forward. - Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Macroeconomics

• Plný název: Optimal Financial Decision Making under Uncertainty
• Autor: Giorgio Consigli, Daniel Kuhn, Paolo Brandimarte
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 298
• EAN: 9783319416113
• ISBN: 3319416111
• ID: 12580350
• Nakladatelství: Springer International Publishing AG
• Hmotnost: 6033 g
• Rozměry: 235 × 155 × 23 mm
• Datum vydání: 25. October 2016

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