The Resource Algorithms for worstcase design and applications to risk management, Berç Rustem, Melendres Howe
Algorithms for worstcase design and applications to risk management, Berç Rustem, Melendres Howe
Resource Information
The item Algorithms for worstcase design and applications to risk management, Berç Rustem, Melendres Howe represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Algorithms for worstcase design and applications to risk management, Berç Rustem, Melendres Howe represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of San Diego Libraries.
This item is available to borrow from 1 library branch.
 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 worstcase 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, worstcase design addresses not only Armageddon
 Language
 eng
 Extent
 1 online resource (xv, 389 pages)
 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 quasiNewton 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
 Isbn
 9781400814602
 Label
 Algorithms for worstcase design and applications to risk management
 Title
 Algorithms for worstcase design and applications to risk management
 Statement of responsibility
 Berç Rustem, Melendres Howe
 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 worstcase 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, worstcase 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 worstcase design and applications to risk management, Berç Rustem, Melendres Howe
 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 quasiNewton 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 worstcase design and applications to risk management, Berç Rustem, Melendres Howe
 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 quasiNewton 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
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<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.sandiego.edu/portal/Algorithmsforworstcasedesignandapplications/joW2JN78KRE/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.sandiego.edu/portal/Algorithmsforworstcasedesignandapplications/joW2JN78KRE/">Algorithms for worstcase design and applications to risk management, Berç Rustem, Melendres Howe</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.sandiego.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.sandiego.edu/">University of San Diego Libraries</a></span></span></span></span></div>