Optimal Financial Decision Making under Uncertainty

• Corporate Author: SpringerLink (Online service)
• Other Authors: Consigli, Giorgio (Editor), Kuhn, Daniel (Editor), Brandimarte, Paolo (Editor)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2017.
• Series: International Series in Operations Research & Management Science, 245
• Subjects: Business.; Operations research.; Decision making.; Mathematical optimization.; Macroeconomics.; Business and Management.; Operation Research/Decision Theory.; Macroeconomics/Monetary Economics//Financial Economics.; Optimization.

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...

Table of Contents:

• Multi-period Risk Measures and Optimal Investment Policies
• Asset Price Dynamics: Shocks and Regimes
• Scenario Optimization Methods in Portfolio Analysis and Design
• Robust Approaches to Pension Fund Asset Liability Management under Uncertainty
• Liability-driven Investment in Longevity Risk Management
• Pricing Multiple Exercise American Options by Linear Programming
• Optimizing a Portfolio of Liquid and Illiquid Assets
• Stabilization Implementable Decisions in Dynamic Stochastic Programming
• The Growth Optimal Investment Strategy is Secure, Too
• Heuristics for Portfolio Selection
• Optimal Financial Decision Making under Uncertainty. .