Practical Financial Optimization: Decision Making for Financial Engineers

Contents

Foreword, by Harry M. Markowitz

Preface

Acknowledgments

Text Credits

Notation

List of Models

I INTRODUCTION

1 An Optimization View of Financial Engineering

1.1 Preview

1.2 Optimization in Financial Engineering

1.3 Enterprise-Wide Risk Management

1.3.1 What is enterprise-wide risk management?

1.3.2 Enterprise-wide risk management for a single business

1.3.3 Enterprise-wide risk management for a business portfolio

1.3.4 Integrating design, pricing, funding, and capitalization

1.3.5 Components of enterprise-wide risk management

1.3.6 Why enterprise-wide risk management is important

1.3.7 Asset and liability management

1.4 The Scope for Optimization in Enterprise-Wide Risk Management

1.4.1 Caveat: What to optimize?

1.5 Overview of Financial Optimization Models

1.5.1 Basics of risk management

1.5.2 Mean-variance portfolio optimization

1.5.3 Portfolio models for fixed income

1.5.4 Scenario optimization

1.5.5 Dynamic portfolio optimization

1.5.6 Index funds

1.5.7 Designing financial products

1.5.8 Scenario generation

1.5.9 Applications

1.6 Postview

Notes and References

2 Basics of Risk Management

2.1 Preview

2.2 A Classification of Financial Risks

2.3 Risk Measurement for Equities

2.4 Risk Measurement for Fixed-Income Securities

2.4.1 Duration and convexity

2.4.2 Factor analysis of the term structure

2.4.3 Option adjusted analysis

2.5 Scenario Analysis for Fixed-Income Securities

2.6 Enterprise-Wide Risk Measurement

2.7 Coherent Risk Measurement

2.8 Measurement of Reward and ...