Optimal Financial Decision Making Under Uncertainty
暫譯: 不確定性下的最佳財務決策制定
Consigli, Giorgio, Kuhn, Daniel, Brandimarte, Paolo
商品描述
The volume features chapters of theoretical and practical relevance clarifying recent advances in the associated applied field from different standpoints, relying on similar valuation problems and, as mentioned, facilitating a mutual and beneficial methodological and theoretical knowledge transfer. The distinctive aspects of the volume can be summarized as follows:
- Strong benchmarking philosophy, with contributors explicitly asked to underline current limits and desirable developments in their areas.
- Theoretical contributions, aimed at advancing the state-of-the-art in the given domain with a clear potential for applications
- The inclusion of an algorithmic-computational discussion of issues arising on similar valuation problems across different methods.
- Variety of applications: rarely is itpossible within a single volume to consider and analyze different, and possibly competing, alternative optimization techniques applied to well-identified financial valuation problems.
- Clear definition of the current state-of-the-art in each methodological and applied area to facilitate future research directions.
商品描述(中文翻譯)
本卷的範圍主要是從不同的方法論角度分析在金融應用中出現的類似估值和優化問題，旨在促進被廣泛視為替代方案的方法之間的理論和計算整合。近年來，金融管理問題如策略性資產配置、資產負債管理以及資產定價問題，文獻中已經採用根植於隨機規劃、穩健優化、隨機動態規劃（包括近似的 SDP）方法，以及政策規則優化、啟發式方法等的公式化和解決方法。本卷的目的是促進對這些方法的建模和方法論潛力的理解，從而理解它們的共同假設和特點，依賴於類似的金融問題。本卷將針對金融中常見的不同估值問題進行探討，涉及：資產定價、最佳投資組合管理、風險測量、風險控制和資產負債管理。
本卷包含具有理論和實踐相關性的章節，從不同的角度澄清相關應用領域的最新進展，依賴於類似的估值問題，並如前所述，促進相互和有益的方法論和理論知識轉移。本卷的獨特之處可以總結如下：
- 強調基準比較的理念，要求貢獻者明確指出其領域中的當前限制和期望發展。
- 理論貢獻，旨在推進該領域的最新技術，並具有明確的應用潛力。
- 包含對不同方法中出現的類似估值問題的算法計算討論。
- 應用的多樣性：在單一卷中很少能考慮和分析不同且可能競爭的替代優化技術，應用於明確識別的金融估值問題。
- 清晰定義每個方法論和應用領域的當前最新技術，以促進未來的研究方向。
作者簡介
Giorgio Consigli is currently professor of applied mathematics in economics and finance at the University of Bergamo. Dr. Consigli is Coordinator of the Stochastic Programming technical section within the Italian OR society and Board Member of the European Working Groups of Stochastic Programming and Commodity and Financial Modelling within the European OR society. He is Research Fellow of the School of Mathematical Studies of the University of Cambridge (UK) and the UK Institute of Mathematics and Applications (FIMA).
He holds an honours degree in Economics at the University La Sapienza in Rome, a Diploma in Financial intermediation in the same University and a PhD in mathematics at the University of Essex in the UK.
Dr. Consigli has a substantial cooperation and R&D record with the insurance and financial industry in Italy and Internationally on the development of advanced tools for risk management and asset-liability management. Throughout the years hemaintained an active cooperation with the academic and scientific communities specifically in the areas of stochastic optimization, financial modelling, risk modelling and static and dynamic portfolio selection. He is associate editor of the J of Management Mathematics (OUP), the J of Computational Management Science (Springer), the J of Financial Engineering and Risk Management (Inderscience), Quantitative Finance Letters (Taylor and Francis).
Daniel Kuhn holds the Chair of Risk Analytics and Optimization at EPFL. Before joining EPFL, he was a faculty member at Imperial College London (2007-2013) and a postdoctoral researcher at Stanford University (2005-2006). He received a PhD in Economics from the University of St. Gallen in 2004 and an MSc in Theoretical Physics from ETH Zurich in 1999. His research interests revolve around robust optimization and stochastic programming.
Paolo Brandimarte is full professor of quantitative methods at the Department of Mathematical Sciences of Politecnico di Torino, where he teaches Financial Engineering and Business Analytics. He is also adjunct professor at ESCP Europe. His primary research interests are in the application of optimization and statistical modelling to finance and supply chain management. He has written/edited more than ten books on these subjects.
作者簡介(中文翻譯)
喬治奧·孔西利目前是貝爾加莫大學應用數學在經濟學和金融學的教授。孔西利博士是意大利運籌學會隨機規劃技術部門的協調員，並且是歐洲運籌學會隨機規劃及商品與金融建模工作組的董事會成員。他是劍橋大學數學研究學院（英國）及英國數學與應用學會（FIMA）的研究員。
他在羅馬的拉薩比恩扎大學獲得經濟學榮譽學位，在同一所大學獲得金融中介文憑，並在英國埃塞克斯大學獲得數學博士學位。
孔西利博士在意大利及國際上與保險和金融行業在風險管理和資產負債管理的先進工具開發方面有著豐富的合作和研發經驗。多年來，他與學術和科學界保持著積極的合作，特別是在隨機優化、金融建模、風險建模以及靜態和動態投資組合選擇等領域。他是《管理數學期刊》（OUP）、《計算管理科學期刊》（Springer）、《金融工程與風險管理期刊》（Inderscience）及《定量金融快報》（Taylor and Francis）的副編輯。
丹尼爾·庫恩擔任洛桑聯邦理工學院（EPFL）風險分析與優化的講座教授。在加入EPFL之前，他曾是倫敦帝國學院的教職員（2007-2013）及斯坦福大學的博士後研究員（2005-2006）。他於2004年在聖加倫大學獲得經濟學博士學位，並於1999年在蘇黎世聯邦理工學院獲得理論物理碩士學位。他的研究興趣圍繞著穩健優化和隨機規劃。
保羅·布蘭迪馬特是都靈理工大學數學科學系的定量方法全職教授，教授金融工程和商業分析。他同時也是歐洲商學院的兼任教授。他的主要研究興趣在於優化和統計建模在金融和供應鏈管理中的應用。他已經撰寫或編輯了十多本相關主題的書籍。
