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Optimization Methods in Finance

Gérard Cornuéjols, Javier Peña, and Reha Tütüncü
Publisher: 
Cambridge University Press
Publication Date: 
2018
Number of Pages: 
337
Format: 
Hardcover
Edition: 
2
Price: 
64.99
ISBN: 
9781107056749
Category: 
Textbook
BLL Rating: 

The Basic Library List Committee suggests that undergraduate mathematics libraries consider this book for acquisition.

[Reviewed by
Fernando Q. Gouvêa
, on
08/29/2018
]

See Brian Borchers’ review of the first edition. The second edition has been reorganized into four parts, making the structure of the book clearer. Added material includes mean-variance optimization and multi-period models, which are the subject of Part III.


Fernando Q. Gouvêa is the editor of MAA Reviews.

Part I. Introduction:
1. Overview of optimization models
2. Linear programming: theory and algorithms
3. Linear programming models: asset-liability management
4. Linear programming models: arbitrage and asset pricing
Part II. Single-Period Models:
5. Quadratic programming: theory and algorithms
6. Quadratic programming models: mean-variance optimization
7. Sensitivity of mean-variance models to input estimation
8. Mixed integer programming: theory and algorithms
9. Mixed integer programming models: portfolios with combinatorial constraints
10. Stochastic programming: theory and algorithms
11. Stochastic programming models: risk measures
Part III. Multi-Period Models:
12. Multi-period models: simple examples
13. Dynamic programming: theory and algorithms
14. Dynamic programming models: multi-period portfolio optimization
15. Dynamic programming models: the binomial pricing model
16. Multi-stage stochastic programming
17. Stochastic programming models: asset-liability management
Part IV. Other Optimization Techniques:
18. Conic programming: theory and algorithms
19. Robust optimization
20. Nonlinear programming: theory and algorithms
Appendix
References
Index.