Practical Financial Optimization: A Library of GAMS Models

Optimization is concerned with the representation and solution of models. Models can be represented in a number of ways, and they can be solved using a number of methods or algorithms. The General Algebraic Modeling System, GAMS, is a system for formulating and solving optimization models. It consists of a language which allows a high-level, algebraic representation of mathematical models, and a set of solvers to solve them.

This title provides a stable of GAMS models which can be adapted for use for particular optimization purposes. It sets out GAMS language and the basics of data management in GAMS Models. It introduces methods of building large-scale mean-variance models for managing international portfolios of bond and stock indices, extending these to incorporate various practical considerations on the portfolio trade ability.

The authors develop these models for scenario-based portfolio optimization and for dynamic portfolio optimization using stochastic programming. They also provide models for structuring index funds and for creating an index fund of fixed income securities.  There is an indexation model to provide hedging for the exchange rate risk of an international portfolio.

The title includes international asset allocation models to track the international bond index, while limiting foreign exchange exposure. Finally the authors develop models for the management of participating insurance policies with minimum guaranteed rate of return, and a scenario optimization model for asset and liability management of individual investors.