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Algorithms for Worst-Case Design and Applications to Risk Management : (Record no. 67805)

000 -LEADER
fixed length control field	11300nam a22005413i 4500
001 - CONTROL NUMBER
control field	EBC457720
003 - CONTROL NUMBER IDENTIFIER
control field	MiAaPQ
005 - DATE AND TIME OF LATEST TRANSACTION
control field	20181121152930.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field	m o d \|
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field	cr cnu\|\|\|\|\|\|\|\|
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field	181113s2002 xx o \|\|\|\|0 eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number	9781400825110
--	(electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN	9780691091549
035 ## - SYSTEM CONTROL NUMBER
System control number	(MiAaPQ)EBC457720
035 ## - SYSTEM CONTROL NUMBER
System control number	(Au-PeEL)EBL457720
035 ## - SYSTEM CONTROL NUMBER
System control number	(CaPaEBR)ebr10312543
035 ## - SYSTEM CONTROL NUMBER
System control number	(CaONFJC)MIL215719
035 ## - SYSTEM CONTROL NUMBER
System control number	(OCoLC)609845339
040 ## - CATALOGING SOURCE
Original cataloging agency	MiAaPQ
Language of cataloging	eng
Description conventions	rda
--	pn
Transcribing agency	MiAaPQ
Modifying agency	MiAaPQ
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number	HD61 -- .R87 2002eb
082 0# - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number	511.8
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name	Rüstem, Berç.
245 10 - TITLE STATEMENT
Title	Algorithms for Worst-Case Design and Applications to Risk Management :
Remainder of title	Case Design and Applications to Risk Management.
264 #1 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc	Princeton :
Name of publisher, distributor, etc	Princeton University Press,
Date of publication, distribution, etc	2002.
264 #4 - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Date of publication, distribution, etc	©2003.
300 ## - PHYSICAL DESCRIPTION
Extent	1 online resource (405 pages)
336 ## - CONTENT TYPE
Content type term	text
Content type code	txt
Source	rdacontent
337 ## - MEDIA TYPE
Media type term	computer
Media type code	c
Source	rdamedia
338 ## - CARRIER TYPE
Carrier type term	online resource
Carrier type code	cr
Source	rdacarrier
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note	Contents -- Preface -- Chapter 1. Introduction to minimax -- 1 Background and Notation -- 1.1 Linear Independence -- 1.2 Tangent Cone, Normal Cone and Epigraph -- 1.3 Subgradiemts and Subdifferentials of Convex Functions -- 2 Continuous Minimax -- 3 Optimality Conditions and Robustness of Minimax -- 3.1 The Haar Condition -- 4 Saddle Points and Saddle Point Conditions -- References -- Comments and Notes -- Chapter 2. A survey of continuous minimax algorithms -- 1 Introduction -- 2 The Algorithm of Chaney -- 3 The Algorithm of Panin -- 4 The Algorithm of Kiwiel -- References -- Comments and Notes -- Chapter 3. Algorithms for computing saddle points -- 1 Computation of Saddle Points -- 1.1 Saddle Point Equilibria -- 1.2 Solution of Systems of Equations -- 2 The Algorithms -- 2.1 Gradient-based Algorithm for Unconstrained Saddle Points -- 2.2 Quadratic Approximation Algorithm for Constrained Minimax Saddle Points -- 2.3 Interior Point Saddle Point Algorithm for Constrained Problems -- 2.4 Quasi-Newton Algorithm for Nonlinear Systems -- 3 Global Convergence of Newton-type Algorithms -- 4 Achievement of Unit Stepsizes and Superlinear Convergence -- 5 Concluding Remarks -- References -- Comments and Notes -- Chapter 4. A quasi-Newton algorithm for continuous minimax -- 1 Introduction -- 2 Basic Concepts and Definitions -- 3 The quasi-Newton Algorithm -- 4 Basic Convergence Results -- 5 Global Convergence and Local Convergence Rates -- References -- Appendix A: Implementation Issues -- Appendix B: Motivation for the Search Direction d -- Comments and Notes -- Chapter 5. Numerical experiments with continuous minimax algorithms -- 1 Introduction -- 2 The Algorithms -- 2.1 Kiwiel's Algorithm -- 2.2 Quasi-Newton Methods -- 3 Implementation -- 3.1 Terminology -- 3.2 The Stopping Criterion -- 3.3 Evaluation of the Direction of Descent -- 4 Test Problems.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note	5 Summary of the Results -- 5.1 Iterations when is Satisfied -- 5.2 Calculation of Minimum-norm Subgradient -- 5.3 Superlinear Convergence -- 5.4 Termination Criterion and Accuracy of the Solution -- References -- Chapter 6. Minimax as a robust strategy for discrete rival scenarios -- 1 Introduction to Rival Models and Forecast Scenarios -- 2 The Discrete Minimax Problem -- 3 The Robust Character of the Discrete Minimax Strategy -- 3.1 Naive Minimax -- 3.2 Robustness of the Minimax Strategy -- 3.3 An Example -- 4 Augmented Lagrangians and Convexification of Discrete Minimax -- References -- Chapter 7. Discrete minimax algorithm for nonlinear equality and inequality constrained models -- 1 Introduction -- 2 Basic Concepts -- 3 The Discrete Minimax Algorithm -- 3.1 Inequality Constraints -- 3.2 Quadratic Programming Subproblem -- 3.3 Stepsize Strategy -- 3.4 The Algorithm -- 3.5 Basic Properties -- 4 Convergence of the Algorithm -- 5 Achievement of Unit Stepsizes -- 6 Superlinear Convergence Rates of the Algorithm -- 7 The Algorithm for Only Linear Constraints -- References -- Chapter 8. A continuous minimax strategy for options hedging -- 1 Introduction -- 2 Options and the Hedging Problem -- 3 The Black and Scholes Option Pricing Model and Delta Hedging -- 4 Minimax Hedging Strategy -- 4.1 Minimax Problem Formulation -- 4.2 The Worst-case Scenario -- 4.3 The Hedging Error -- 4.4 The Objective Function -- 4.5 The Minimax Hedging Error -- 4.6 Transaction Costs -- 4.7 The Variants of the Minimax Hedging Strategy -- 4.8 The Minimax Solution -- 5 Simulation -- 5.1 Generation of Simulation Data -- 5.2 Setting Up and Winding Down the Hedge -- 5.3 Summary of Simulation Results -- 6 Illustrative Hedging Problem: A Limited Empirical Study -- 6.1 From Set-up to Wind-down -- 6.2 The Hedging Strategies Applied to 30 Options: Summary of Results.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note	7 Multiperiod Minimax Hedging Strategies -- 7.1 Two-period Minimax Strategy -- 7.2 Variable Minimax Strategy -- 8 Simulation Study of the Performance of Different Multiperiod Strategies -- 8.1 The Simulation Structure -- 8.2 Results of the Simulation Study -- 8.3 Rank Ordering -- 9 CAPM-based Minimax Hedging Strategy -- 9.1 The Capital Asset Pricing Model -- 9.2 The CAPM-based Minimax Problem Formulation -- 9.3 The Objective Function -- 9.4 The Worst-case Scenario -- 10 Simulation Study of the Performance of CAPM Minimax -- 10.1 Generation of Simulation Data -- 10.2 Summary of Simulation Results -- 10.3 Rank Ordering -- 11 The Beta of the Hedge Portfolio for CAPM Minimax -- 12 Hedging Bond Options -- 12.1 European Bond Options -- 12.2 American Bond Options -- 13 Concluding Remarks -- References -- Appendix A: Weighting Hedge Recommendations, Variant B* -- Appendix B: Numerical Examples -- Comments and Notes -- Chapter 9. Minimax and asset allocation problems -- 1 Introduction -- 2 Models for Asset Allocation Based on Minimax -- 2.1 Model 1: Rival Return Scenarios with Fixed Risk -- 2.2 Model 2: Rival Return with Risk Scenarios -- 2.3 Model 3: Rival Return Scenarios with Independent Rival Risk Scenarios -- 2.4 Model 4: Fixed Return with Rival Benchmark Risk Scenarios -- 2.5 Efficiency -- 3 Minimax Bond Portfolio Selection -- 3.1 The Single Model Problem -- 3.2 Application: Two Asset Allocations Using Different Models -- 3.3 Two-model Problem -- 3.4 Application: Simultaneous Optimization across Two Models -- 3.5 Backtesting the Performance of a Portfolio on the Minimax Frontier -- 4 Dual Benchmarking -- 4.1 Single Benchmark Tracking -- 4.2 Application: Tracking a Global Benchmark against Tracking LIBOR -- 4.3 Dual Benchmark Tracking -- 4.4 Application: Simultaneously Tracking the Global Benchmark and LIBOR.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note	4.5 Performance of a Portfolio on the Dual Frontier -- 5 Other Minimax Strategies for Asset Allocation -- 5.1 Threshold Returns and Downside Risk -- 5.2 Further Minimax Index Tracking and Range Forecasts -- 6 Multistage Minimax Portfolio Selection -- 7 Portfolio Management Using Minimax and Options -- 8 Concluding Remarks -- References -- Comments and Notes -- Chapter 10. Asset/liability management under uncertainty -- 1 Introduction -- 2 The Immunization Framework -- 2.1 Interest Rates -- 2.2 The Formulation -- 3 Illustration -- 4 The Asset/Liability (A/L) Risk in Immunization -- 5 The Continuous Minimax Directional Immunization -- 6 Other Immunization Strategies -- 6.1 Univariate Duration Model -- 6.2 Univariate Convexity Model -- 7 The Stochastic ALM Model 1 -- 8 The Stochastic ALM Model 2 -- 8.1 A Dynamic Multistage Recourse Stochastic ALM Model -- 8.2 The Minimax Formulation of the Stochastic ALM Model 2 -- 8.3 A Practical Single-stage Minimax Formulation -- 9 Concluding Remarks -- References -- Comments and Notes -- Chapter 11. Robust currency management -- 1 Introduction -- 2 Strategic Currency Management 1: Pure Currency Portfolios -- 3 Strategic Currency Management 2: Currency Overlay -- 4 A Generic Currency Model for Tactical Management -- 5 The Minimax Framework -- 5.1 Single Currency Framework -- 5.2 Single Currency Framework with Transaction Costs -- 5.3 Multicurrency Framework -- 5.4 Multicurrency Framework with Transaction Costs -- 5.5 Worst-case Scenario -- 5.6 A Momentum-based Minimax Strategy -- 5.7 A Risk-controlled Minimax Strategy -- 6 The Interplay between the Strategic Benchmark and Tactical Management -- 7 Currency Management Using Minimax and Options -- 8 Concluding Remarks -- References -- Appendix: Currency Forecasting -- Comments and Notes -- Index -- A -- B -- C -- D -- E -- F -- G -- H -- I -- J -- K -- L -- M -- N -- O.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note	P -- Q -- R -- S -- T -- U -- V -- W -- Y.
520 ## - SUMMARY, ETC.
Summary, etc	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.
588 ## - SOURCE OF DESCRIPTION NOTE
Source of description note	Description based on publisher supplied metadata and other sources.
590 ## - LOCAL NOTE (RLIN)
Local note	Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2018. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element	Algorithms.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element	Decision making -- Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element	Risk -- Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element	Risk management -- Mathematical models.
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term	Electronic books.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name	Howe, Melendres.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name	Rustem, Berç.
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name	Rustem, Ber.
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text	Print version:
Main entry heading	Rüstem, Berç
Title	Algorithms for Worst-Case Design and Applications to Risk Management : Case Design and Applications to Risk Management
Place, publisher, and date of publication	Princeton : Princeton University Press,c2002
International Standard Book Number	9780691091549
797 2# - LOCAL ADDED ENTRY--CORPORATE NAME (RLIN)
Corporate name or jurisdiction name as entry element	ProQuest (Firm)
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier	<a href="https://ebookcentral.proquest.com/lib/buse-ebooks/detail.action?docID=457720">https://ebookcentral.proquest.com/lib/buse-ebooks/detail.action?docID=457720</a>
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