Nonlinear Optimization with Financial Applications
The book introduces the key ideas behind practical nonlinear optimization. Computational finance an increasingly popular area of mathematics degree programmes is combined here with the study of an important class of numerical techniques. The financial content of the book is designed to be relevant a...
Guardat en:
| Autor principal: | |
|---|---|
| Format: | Livre numérique |
| Idioma: | Anglais |
| Publicat: |
Boston, MA :
Springer US : Springer e-books
[20..].
Cham : Springer Nature |
| Accés en línia: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Nota: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Nonlinear optimization with financial applications, Michael Bartholomew-Biggs,..., Boston, Kluwer Academic Publishers, 2005, 1 volume (XVII-261 pages), 1-4020-8110-3 |
Taula de continguts:
- Portfolio Optimization One-Variable Optimization Optimal Portfolios with N Assets Unconstrained Optimization in N Variables The Steepest Descent Method The Newton Method Quasi-Newton Methods Conjugate Gradient Methods Optimal Portfolios with Restrictions Larger-Scale Portfolios Data-Fitting & The Gauss-Newton Method Equality Constrained Optimization Linear Equality Constraints Penalty Function Methods Sequential Quadratic Programming Further Portfolio Problems Inequality Constrained Optimization Extending Equality-Constraint Methods to Inequalities Barrier Function Methods Interior Point Methods Data Fitting Using Inequality Constraints Portfolio Re-Balancing and other Problems Global Unconstrained Optimization