عنوان
پدید آورنده
موضوع
رده
HD61 .R87 2002eb
HD61
.
R87
2002eb
کتابخانه
محل استقرار
INTERNATIONAL STANDARD BOOK NUMBER
(Number (ISBN
140081460X
(Number (ISBN
1400825113
(Number (ISBN
1680158961
(Number (ISBN
9781400814602
(Number (ISBN
9781400825110
(Number (ISBN
9781680158960
Erroneous ISBN
0691091544
Erroneous ISBN
1282157191
Erroneous ISBN
9781282157194
NATIONAL BIBLIOGRAPHY NUMBER
Number
b739464
TITLE AND STATEMENT OF RESPONSIBILITY
Title Proper
Algorithms for worst-case design and applications to risk management /
General Material Designation
[Book]
First Statement of Responsibility
Berç Rustem, Melendres Howe.
.PUBLICATION, DISTRIBUTION, ETC
Place of Publication, Distribution, etc.
Oxford :
Name of Publisher, Distributor, etc.
Princeton University Press,
Date of Publication, Distribution, etc.
©2002.
PHYSICAL DESCRIPTION
Specific Material Designation and Extent of Item
1 online resource (xv, 389 pages)
INTERNAL BIBLIOGRAPHIES/INDEXES NOTE
Text of Note
Includes bibliographical references and index.
CONTENTS NOTE
Text of Note
Contents; Preface; Chapter 1. Introduction to minimax; Chapter 2. A survey of continuous minimax algorithms; Chapter 3. Algorithms for computing saddle points; Chapter 4. A quasi-Newton algorithm for continuous minimax; Chapter 5. Numerical experiments with continuous minimax algorithms; Chapter 6. Minimax as a robust strategy for discrete rival scenarios; Chapter 7. Discrete minimax algorithm for nonlinear equality and inequality constrained models; Chapter 8. A continuous minimax strategy for options hedging; Chapter 9. Minimax and asset allocation problems.
Text of Note
Chapter 10. Asset/liability management under uncertaintyChapter 11. Robust currency management; Index.
0
8
SUMMARY OR ABSTRACT
Text of Note
Recognizing that robust decision making is vital in risk management, this book provides concepts and algorithms for computing the best decision in view of the worst-case scenario. The main tool used is minimax, which ensures robust policies with guaranteed optimal performance that will improve further if the worst case is not realized. The applications considered are drawn from finance, but the design and algorithms presented are equally applicable to problems of economic policy, engineering design, and other areas of decision making. Critically, worst-case design addresses not only Armageddon-
ACQUISITION INFORMATION NOTE
Source for Acquisition/Subscription Address
JSTOR
Stock Number
22573/cttv1r1
OTHER EDITION IN ANOTHER MEDIUM
Title
Algorithms for worst-case design and applications to risk management.
International Standard Book Number
0691091544
TOPICAL NAME USED AS SUBJECT
Algorithms.
Risk management-- Mathematics.
Algorithms.
MATHEMATICS-- General.
Risk management-- Mathematics.
(SUBJECT CATEGORY (Provisional
KMKP, PBU
MAT-- 000000
DEWEY DECIMAL CLASSIFICATION
Number
511
.
8
Edition
21
LIBRARY OF CONGRESS CLASSIFICATION
Class number
HD61
Book number
.
R87
2002eb
PERSONAL NAME - PRIMARY RESPONSIBILITY
Rustem, Berc.
PERSONAL NAME - ALTERNATIVE RESPONSIBILITY
Howe, Melendres.
ORIGINATING SOURCE
Date of Transaction
20201204002850.0
Cataloguing Rules (Descriptive Conventions))
pn
ELECTRONIC LOCATION AND ACCESS
Electronic name
مطالعه متن کتاب [Book]
Y
