Research Catalog

Title

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

Author

Rustem, Berc.

Publication

Princeton, N.J. ; Oxford : Princeton University Press, 2002.

Items in the Library & Off-site

Details

Additional Authors

Howe, Melendres.

Description

xv, 389 pages; 24 cm

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-type uncertainty. Indeed, the determination of the worst case becomes nontrivial when faced with numerous - possibly infinite - and reasonably likely rival scenarios. Optimality does not depend on any single scenario but on all the scenarios under consideration. Worst-case optimal decisions provide guaranteed optimal performance for systems operating within the specified scenario range indicating the uncertainty. The noninferiority of minimax solutions - which also offer the possibility of multiple maxima - ensures this optimality." "Worst-case design is not intended to necessarily replace expected value optimization when the underlying uncertainty is stochastic. However, wise decision making requires the justification of policies based on expected value optimization in view of the worst-case scenario. Conversely, the cost of the assured performance provided by robust worst-case decision making needs to be evaluated relative to optimal expected values." "Written for postgraduate students and researchers engaged in optimization, engineering design, economics, and finance, this book will also be invaluable to practitioners in risk management."--Jacket.

Subject

• Risk management > Mathematical models
• Risk > Mathematical models
• Decision making > Mathematical models
• Algorithms
• Decision Support Techniques
• Algorithms
• algorithms
• Algorithmus
• Operations Research
• Risikomanagement
• Risk management
• Minimax problemen
• Algoritmen
• Zadelpunt
• Portfolio-theorie
• Hedging
• Opties
• Administração de risco
• Algoritmos
• Modelos matemáticos

Bibliography (note)

• Includes bibliographical references and index.

Contents

Preface -- Ch. 1. Introduction to minimax -- Background and Notation -- Continuous Minimax -- Optimality Conditions and Robustness of Minimax -- Saddle Points and Saddle Point Conditions -- Ch. 2. A survey of continuous minimax algorithms -- The Algorithm of Chaney -- The Algorithm of Panin -- The Algorithm of Kiwiel -- Ch. 3. Algorithms for computing saddle points -- Computation of Saddle Points -- The Algorithms -- Global Convergence of Newton-type Algorithms -- Achievement of Unit Stepsizes and Superlinear Convergence -- Ch. 4. A quasi-Newton algorithm for continuous minimax -- Basic Concepts and Definitions -- The quasi-Newton Algorithm -- Basic Convergence Results -- Global Convergence and Local Convergence Rates -- Ch. 5. Numerical experiments with continuous minimax algorithms -- The Algorithms -- Implementation -- Test Problems -- Summary of the Results -- Ch. 6. Minimax as a robust strategy for discrete rival scenarios -- Introduction to Rival Models and Forecast Scenarios -- The Discrete Minimax Problem -- The Robust Character of the Discrete Minimax Strategy -- Augmented Lagrangians and Convexification of Discrete Minimax -- Ch. 7. Discrete minimax algorithm for nonlinear equality and inequality constrained models -- Basic Concepts -- The Discrete Minimax Algorithm -- Convergence of the Algorithm -- Achievement of Unit Stepsizes -- Superlinear Convergence Rates of the Algorithm -- The Algorithm for Only Linear Constraints -- Ch. 8. A continuous minimax strategy for options hedging -- Options and the Hedging Problem -- The Black and Scholes Option Pricing Model and Delta Hedging -- Minimax Hedging Strategy -- Simulation -- Illustrative Hedging Problem: A Limited Empirical Study -- Multiperiod Minimax Hedging Strategies -- Simulation Study of the Performance of Different Multiperiod Strategies -- CAPM-based Minimax Hedging Strategy -- Simulation Study of the Performance of CAPM Minimax -- The Beta of the Hedge Portfolio for CAPM Minimax -- Hedging Bond Options -- Ch. 9. Minimax and asset allocation problems -- Models for Asset Allocation Based on Minimax -- Minimax Bond Portfolio Selection -- Dual Benchmarking -- Other Minimax Strategies for Asset Allocation -- Multistage Minimax Portfolio Selection -- Portfolio Management Using Minimax and Options -- Ch. 10. Asset/liability management under uncertainty -- The Immunization Framework -- Illustration -- The Asset/Liability (A/L) Risk in Immunization -- The Continuous Minimax Directional Immunization -- Other Immunization Strategies -- The Stochastic ALM Model 1 -- The Stochastic ALM Model 2 -- Ch. 11. Robust currency management -- Strategic Currency Management 1: Pure Currency Portfolios -- Strategic Currency Management 2: Currency Overlay -- A Generic Currency Model for Tactical Management -- The Minimax Framework -- The Interplay between the Strategic Benchmark and Tactical Management -- Currency Management Using Minimax and Options -- Index.

ISBN

• 0691091544
• 9780691091549

LCCN

2004301936

OCLC

• ocm48931090
• 48931090
• SCSB-1265890

Owning Institutions

Princeton University Library