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Books > Business & Economics > Economics > Macroeconomics
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Optimal Financial Decision Making under Uncertainty (Paperback, Softcover reprint of the original 1st ed. 2017)
Loot Price: R5,215
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Optimal Financial Decision Making under Uncertainty (Paperback, Softcover reprint of the original 1st ed. 2017)
Series: International Series in Operations Research & Management Science, 245
Expected to ship within 10 - 15 working days
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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 a
theoretical and computational integration between methods largely
regarded as alternatives. Increasingly in recent years, financial
management problems such as strategic asset allocation,
asset-liability management, 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 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 will address different valuation
problems common in finance related to: asset pricing, optimal
portfolio management, risk measurement, risk control and
asset-liability management.The volume features chapters of
theoretical and practical relevance clarifying recent advances in
the associated applied field from different standpoints, relying on
similar valuation problems and, as mentioned, facilitating a mutual
and beneficial methodological and theoretical knowledge transfer.
The distinctive aspects of the volume can be summarized as follows:
Strong benchmarking philosophy, with contributors explicitly asked
to underline current limits and desirable developments in their
areas. Theoretical contributions, aimed at advancing the
state-of-the-art in the given domain with a clear potential for
applications 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. Clear definition of
the current state-of-the-art in each methodological and applied
area to facilitate future research directions.
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