Practical Financial Optimization

"Practical Financial Optimization" is a comprehensive guide to optimization techniques in financial decision making. This book illuminates the relationship between theory and practice, providing the readers with solid foundational knowledge; focuses on classical static mean-variance analysis and portfolio immunization, scenario-based models, multi-period dynamic portfolio optimization, and the relationships between classes of models; analyzes real world applications and implications for financial engineers; and, includes a list of models and a section on notations that includes a glossary of symbols and abbreviations.