0000000000335654

AUTHOR

Søren S. Nielsen

showing 6 related works from this author

An Introduction to the GAMS Modeling System

2010

Financial optimizationMathematical optimizationTheoretical computer scienceAlgebraic modeling languageMathematicsPractical Financial Optimization
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Dynamic Portfolio Optimization with Stochastic Programming

2010

MicroeconomicsFixed incomeStochastic discount factorStochastic modellingEconomicsRobust optimizationPortfolio optimizationMathematical economicsStochastic programmingPractical Financial Optimization
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Mean‐Variance Portfolio Optimization

2010

Modigliani risk-adjusted performanceFinancial economicsDiversification (finance)EconomicsMean variancePost-modern portfolio theoryPortfolio optimizationModern portfolio theoryPractical Financial Optimization
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Practical Financial Optimization: A Library of GAMS Models

2010

In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. 'GAMS' consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers --- numerical algorithms --- to solve them. The system was developed in response to the need for powerful and flexible front-end tools to manage large, real-life models. The work begins with an overview of the structure of the GAMS language, and discusses issues relating to the management of data in GAMS models. The authors provide models for mean-variance portfolio optimization which a…

Settore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Portfolio Management Financial Optimization Optimal Decisions under Uncertainty
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Portfolio Models for Fixed Income

2010

MicroeconomicsFixed incomeEconomicsEconometricsPortfolioBootstrapping (linguistics)Portfolio optimizationPractical Financial Optimization
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Case Studies in Financial Optimization

2010

FinanceFinancial managementOperations researchbusiness.industryIndirect financeAccounting managementFinancial analysisFinancial modelingPosition (finance)Financial ratioFinancial econometricsbusinessPractical Financial Optimization
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