Practical Financial Optimization: Decision Making for Financial Engineers

Chapter 14

FINLIB: A Library of Financial Optimization Models

14.1 Preview

In this chapter we describe the library of financial optimization models, and suggest several projects that can be used as term assignments for studio designs by students.

14.2 FINLIB: Financial Optimization Library

The library of financial optimization models, called FINLIB, contains several of the models described in this book. It is available through the companion volume, Practical Financial Optimization: A library of financial optimization models, by Andrea Consiglio, Søren S. Nielsen and Stavros A. Zenios, Blackwell Publishers. The book starts with an introduction to the high-level modeling language GAMS – a General Algebraic Modeling System – that is used to develop optimization models. The bulk of the companion volume then describes several models drawn from the chapters of this book. The models in the FINLIB library range from simple cashflow matching models, to several variants of Markowitz mean-variance optimization, to advanced models for international asset allocation and currency hedging, corporate bond portfolio management, asset and liability modeling for insurers and for individual investors, and the management of indexed funds.

The companion volume comes with an executable version of the models in FINLIB. Each model is complete with sample market data. Interested readers may use the models of the library substituting their own data. More importantly, however, the models from the library ...