Encyclopedia of Operations Research and Management Science

2001 Edition
| Editors: Saul I. Gass, Carl M. Harris

Financial markets

  • John Board
  • Charles Sutcliffe
  • William Ziemba
Reference work entry
DOI: https://doi.org/10.1007/1-4020-0611-X_341

Over the last half-century, a strong relationship be-tween operations research (OR) and finance has developed, resulting in a large and rapidly growing literature. Although most applications have been of OR techniques to finance, finance problems have also stimulated the development and refinement of OR techniques.

Finance problems, and especially those relating to financial markets, are particularly well suited to analysis using OR techniques. These problems are generally separable and well defined, have a clear objective (often to maximize profit or minimize risk), and have variables which are quantified in monetary terms. The relationships between the variables in finance models are usually stable and well defined, so that the resulting OR model is a good representation of the problem. As there are few concerns about human behavior ruling out the implementation of some solutions, the solutions produced by the analysis can usually be implemented. In addition, large amounts of data,...

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Copyright information

© Kluwer Academic Publishers 2001

Authors and Affiliations

  • John Board
    • 1
  • Charles Sutcliffe
    • 2
  • William Ziemba
    • 3
  1. 1.London School of Economics and Political ScienceLondonUK
  2. 2.The University of SouthamptonSouthamptonUK
  3. 3.University of British ColumbiaVancouverCanada