Coverart for item
The Resource Algorithms for worst-case design and applications to risk management, Berç Rustem, Melendres Howe

Algorithms for worst-case design and applications to risk management, Berç Rustem, Melendres Howe

Label
Algorithms for worst-case design and applications to risk management
Title
Algorithms for worst-case design and applications to risk management
Statement of responsibility
Berç Rustem, Melendres Howe
Creator
Contributor
Subject
Genre
Language
eng
Summary
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-
Cataloging source
N$T
http://library.link/vocab/creatorName
Rustem, Berc
Index
index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Howe, Melendres
http://library.link/vocab/subjectName
  • Algorithms
  • Risk management
  • MATHEMATICS
  • Algorithms
  • Risk management
Label
Algorithms for worst-case design and applications to risk management, Berç Rustem, Melendres Howe
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 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
  • Chapter 10. Asset/liability management under uncertaintyChapter 11. Robust currency management; Index
Control code
ocm52243294
Dimensions
unknown
Extent
1 online resource (xv, 389 pages)
Form of item
online
Isbn
9781400814602
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
JSTOR
http://library.link/vocab/ext/overdrive/overdriveId
22573/cttv1r1
Specific material designation
remote
System control number
(OCoLC)52243294
Label
Algorithms for worst-case design and applications to risk management, Berç Rustem, Melendres Howe
Publication
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 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
  • Chapter 10. Asset/liability management under uncertaintyChapter 11. Robust currency management; Index
Control code
ocm52243294
Dimensions
unknown
Extent
1 online resource (xv, 389 pages)
Form of item
online
Isbn
9781400814602
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Note
JSTOR
http://library.link/vocab/ext/overdrive/overdriveId
22573/cttv1r1
Specific material designation
remote
System control number
(OCoLC)52243294

Library Locations

    • Copley LibraryBorrow it
      5998 Alcalá Park, San Diego, CA, 92110-2492, US
      32.771354 -117.193327
Processing Feedback ...