Computational Methods in Decision-Making, Economics and Finance

Front Matter....Pages i-xxi
Front Matter....Pages 1-1
Multi-Period Optimal Asset Allocation for a Multi-Currency Hedged Portfolio....Pages 3-14
Rebalancing Strategies for Long-Term Investors....Pages 15-33
Multistage Stochastic Programming in Computational Finance....Pages 35-47
A Multistage Stochastic Optimization Model for the Cash Management Problem....Pages 49-75
Scenario Specification for Robust Portfolio Analysis....Pages 77-88
A Linear Matrix Inequalities Approach to Robust Mean-Semivariance Portfolio Optimization....Pages 89-107
A Review of Perturbative Approaches for Robust Optimal Portfolio Problems....Pages 109-138
Maxmin Portfolios in Models Where Immunization is Not Feasible....Pages 139-165
A Global Optimization Heuristic for Portfolio Choice with VaR and Expected Shortfall....Pages 167-183
Borrowing Constraints, Portfolio Choice, and Precautionary Motives....Pages 185-212
The Risk Profile Problem for Stock Portfolio Optimization....Pages 213-230
A Scenario-Based Heuristic for a Capacitated Transportation-Inventory Problem with Stochastic Demands....Pages 231-248
Utility Maximisation with a Time Lag in Trading....Pages 249-269
Simulations for Hedging Financial Contracts with Optimal Decisions....Pages 271-296
Automatic Differentiation for Computational Finance....Pages 297-310
Front Matter....Pages 311-311
Interest Rate Barrier Options....Pages 313-324
Pricing American Put Options by Fast Solutions of the Linear Complementarity Problem....Pages 325-338
Hedging with Monte Carlo Simulation....Pages 339-353
In Search of Deterministic Complex Patterns in Commodity Prices....Pages 355-377
A Review of Stock Market Prediction Using Computational Methods....Pages 379-403
Front Matter....Pages 311-311
Numerical and Computational Strategies for Solving Seemingly Unrelated Regression Models....Pages 405-427
Use of Time-Frequency Representations in the Analysis of Stock Market Data....Pages 429-453
Opportunity Cost Algorithms for Combinatorial Auctions....Pages 455-479
A Finite States Contraction Algorithm for Dynamic Models....Pages 481-500
Traffic Network Equilibrium and the Environment....Pages 501-523
Mathematical Model of Technology Diffusion in Developing Countries....Pages 525-539
Estimation of Stochastic Volatility Models....Pages 541-556
Genetic Programming with Syntactic Restrictions Applied to Financial Volatility Forecasting....Pages 557-581
Simulation-Based Tests of PTM....Pages 583-603
Credit Risk Assessment Using a Multicriteria Hierarchical Discrimination Approach....Pages 605-622
Back Matter....Pages 623-626