991
Views
0
CrossRef citations to date
0
Altmetric
Book review

Optimization Methods in Finance

References

  • Birge, J.R. and Louveaux, F., Introduction to Stochastic Programming, 2nd ed., 2011 (Springer Series in Operations Research and Financial Engineering).
  • Consigli, G., and Dempster, M.A.H., Dynamic stochastic programming for asset-liability management. Ann. Oper. Res., 1998, 81, 131–161. doi: 10.1023/A:1018992620909
  • Constantinides, G.M. and Malliaris, A.G., Portfolio theory. In Handbooks on Operations Research and Management Science, vol. 9, edited by R. Jarrow et al., 1995 (Elevier Science B.V).
  • Dempster, M. A. H., Germano, M., Medova, E.A. and Villaverde, M., Global asset liability management. Brit. Actuar. J., 2003, 9(1), 137–195. doi: 10.1017/S1357321700004153
  • Dupacova, J., Consigli, G. and Wallace, S.W., Scenarios for multistage stochastic programmes. Ann. Oper. Res., 2000, 100, 25–53. doi: 10.1023/A:1019206915174
  • King, A.J., Duality and martingales: A stochastic programming perspective on contingent claims. Math. Program. B, 2002, 91, 543–562. doi: 10.1007/s101070100257
  • Mansini, R., Ogryczak, W. and Speranza, M.G., Twenty years of linear programming based portfolio optimization. Eur. J. Oper. Res., 2014, 234(2), 518–535. doi: 10.1016/j.ejor.2013.08.035
  • Zenios, S. A., Practical Financial Optimization: Decision Making for Financial Engineers, 2008 (Wiley-Blackwell: New York, NY).

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.