Optimization Methods in Finance

DOI10.1080/14697688.2019.1601863zbMath1425.00020OpenAlexW2935746612MaRDI QIDQ5234332

Giorgio Consigli

Publication date: 26 September 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2019.1601863

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Applications of mathematical programming (90C90) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Portfolio theory (91G10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) External book reviews (00A17)

Cites Work

• Dynamic stochastic programming for asset-liability management
• Duality and martingales: a stochastic programming perspective on contingent claims
• Twenty years of linear programming based portfolio optimization
• Introduction to Stochastic Programming
• Scenarios for multistage stochastic programs
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