Practical financial optimization:

Includes index.

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 address the question of trading off the portfolio expected return against its risk. Fixed income portfolio optimization models perform standard calculations and allow the user to bootstrap a yield curve from bond prices. Dedication models allow for standard portfolio dedication with borrowing and re-investment decisions, and are extended to deal with maximisation of horizon return and to incorporate various practical considerations on the portfolio tradeability. Immunization models provide for the factor immunization of portfolios of treasury and corporate bonds.