Optimal Financial Decision Making under Uncertainty

  • Giorgio Consigli
  • Daniel Kuhn
  • Paolo Brandimarte

Part of the International Series in Operations Research & Management Science book series (ISOR, volume 245)

Table of contents

  1. Front Matter
    Pages i-xix
  2. Zhiping Chen, Giorgio Consigli, Jia Liu, Gang Li, Tianwen Fu, Qianhui Hu
    Pages 1-34
  3. Leonard MacLean, Yonggan Zhao
    Pages 35-53
  4. Dessislava Pachamanova, Nalan Gülpınar, Ethem Çanakoğlu
    Pages 89-119
  5. Helena Aro, Teemu Pennanen
    Pages 121-136
  6. Monia Giandomenico, Mustafa Ç. Pınar
    Pages 137-150
  7. John M. Mulvey, Woo Chang Kim, Changle Lin
    Pages 151-175
  8. Michael A. H. Dempster, Elena A. Medova, Yee Sook Yong
    Pages 177-200
  9. László Györfi, György Ottucsák, Harro Walk
    Pages 201-223
  10. Manfred Gilli, Enrico Schumann
    Pages 225-253
  11. Giorgio Consigli, Daniel Kuhn, Paolo Brandimarte
    Pages 255-290
  12. Back Matter
    Pages 291-298

About this book

Introduction

The scope of this volume is primarily to analyze from different methodological perspectives  similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives. Increasingly in recent years, financial management problems such as strategic asset allocation, asset-liability management, as well as asset pricing problems, have  been presented in the literature adopting formulation and solution approaches rooted in stochastic programming, robust optimization, stochastic dynamic programming (including approximate SDP) methods, as well as policy rule optimization, heuristic approaches and others. The aim of the volume is to facilitate the comprehension of  the modeling and methodological potentials of those methods, thus their common assumptions and peculiarities, relying on similar financial problems. The volume will address different valuation problems common in finance related to: asset pricing, optimal portfolio management, risk measurement, risk control and asset-liability management.

The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows:

  • Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas.
  • Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications
  • The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods.
  • Variety of applications: rarely is it possible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems.
  • Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.

Keywords

Asset Pricing Financial Decision Making Financial Uncertainty Operations Research Optimization Valuation

Editors and affiliations

  • Giorgio Consigli
    • 1
  • Daniel Kuhn
    • 2
  • Paolo Brandimarte
    • 3
  1. 1.University of BergamoBergamoItaly
  2. 2.EPFLLausanne, ChamUnited Kingdom
  3. 3.Politecnico di TorinoTorinoItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-41613-7
  • Copyright Information Springer International Publishing Switzerland 2017
  • Publisher Name Springer, Cham
  • eBook Packages Business and Management
  • Print ISBN 978-3-319-41611-3
  • Online ISBN 978-3-319-41613-7
  • Series Print ISSN 0884-8289
  • Series Online ISSN 2214-7934
  • About this book
Industry Sectors
Pharma
Automotive
Biotechnology
Consumer Packaged Goods
Energy, Utilities & Environment
Oil, Gas & Geosciences