Computational Methods in Decision-Making, Economics and Finance (Applied Optimization, 74)
Erricos John Kontoghiorghes, Berc Rustem, Stavros SiokosISBN: 1402008392;
Computing has become essential for the modeling, analysis, and optimization of systems. This book is devoted to algorithms, computational analysis, and decision models. The chapters are organized in two parts: optimization models of decisions and models of pricing and equilibria. Optimization is at the core of rational decision making. Even when the decision maker has more than one goal or there is significant uncertainty in the system, optimization provides a rational framework for efficient decisions.The Markowitz mean-variance formulation is a classical example. The first part of the book is on recent developments in optimization decision models for finance and economics. The first four chapters of this part focus directly on multi-stage problems infinance. Chapters 5--8 involve the use of worst-case robust analysis. Chapters 9--11 are devoted to portfolio optimization. The final four chapters are on transportation-inventory with stochastic demand; optimal investment with CRRA...
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