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Practical Financial Optimization Models by Consiglio, Nielsen and Zenios

Alphabetical Index

This library (FINLIB) is an alphabetical listing of the models available in the on-line model library based on the book by A. Consiglio, S.S. Nielsen and S.A. Zenios, Practical Financial Optimization: A library of GAMS models, John Wiley, UK, 2009. The models range from simple cashflow matching models to several variants of Markowitz mean-variance optimization to advanced models for international asset allocation and currency hedging, corporate bond portfolio management, asset and liability modeling for insurers as well as for individual investors, and the management of indexed funds.The science of financial optimization models has been introduced in the companion volume by S.A. Zenios, Practical Financial Optimization: Decision Making for Financial Engineers, Wiley-Blackwell, UK, 2008

Model Description

BondIndex Tracking international bond index - The BSI Model.
BondIndexData Data for the Bond Index Model.
Bootstrap Bootstrapping the yield curve.
Borrow Mean-Variance model with borrowing constraints.
ComovementsModel Two-sided tracking model
ContinuousFinCalc Financial Calculator for continuos time discounting
Corporate Corporate bond indexation model
CorporateCVaR Conditional Value at Risk models for corporate bond management.
CreditImmunization Factor Immunization model for corporate bonds.
CVaR Conditional Value at Risk models.
Dedication Dedication model.
DedicationMIP Dedication model with tradeability constraints.
DedicationNoBorrow Portfolio dedication (without borrowing)
DiscreteFinCalc Financial Calculator for discrete time discounting
Estimate Data estimation for mean-variance model
FactorImmunization Factor immunization models
FactorYieldImmunization Factor immunization models, maximizing the non-linear portfolio yield
GuaranteeData Data for the Insurance Policies with Guarantee - The Prometeia Model.
GuaranteeModel Managing insurance policies with guarantee - The Prometeia Model.
GuaranteeModelGDX Managing insurance policies with guarantee - The Prometeia Model - GDX Input
Horizon Portfolio Horizon returns model.
Immunization Immunization models (present value, duration).
InternationalMeanVar International Asset Allocation model.
JDate Using GAMS time/date functions.
MAD Mean-absolute deviation model.
MeanVar Mean-variance efficient portfolios
MeanVarMip Mean-variance model with diversification constraints.
MeanVarShort Mean-variance model allowing short sales
PersonalAssetAllocation PAA.gms: Personal asset allocation.
PutCall Put/Call efficient frontier model.
ReadData Reads excel files and converts them to gdx format
Regret Regret models.
SelectiveHedging Scenario Optimization for selective hedging
Sharpe Sharpe model.
StochDedication Stochastic Dedication model.
StochDedicationBL Stochastic Dedication model with borrowing and lending variables.
StructuralModel Linear program for indexed funds
ThreeStageSPDA A three stage stochastic programming model for SPDA
TrackingMAD Tracking models using MAD.
TwoStageDeterministic Deterministic Two-stage program.
TwoStageStochastic Stochastic Two-stage program.
Utility Utility models.

	Model	Description
	BondIndex	Tracking international bond index - The BSI Model.
	BondIndexData	Data for the Bond Index Model.
	Bootstrap	Bootstrapping the yield curve.
	Borrow	Mean-Variance model with borrowing constraints.
	ComovementsModel	Two-sided tracking model
	ContinuousFinCalc	Financial Calculator for continuos time discounting
	Corporate	Corporate bond indexation model
	CorporateCVaR	Conditional Value at Risk models for corporate bond management.
	CreditImmunization	Factor Immunization model for corporate bonds.
	CVaR	Conditional Value at Risk models.
	Dedication	Dedication model.
	DedicationMIP	Dedication model with tradeability constraints.
	DedicationNoBorrow	Portfolio dedication (without borrowing)
	DiscreteFinCalc	Financial Calculator for discrete time discounting
	Estimate	Data estimation for mean-variance model
	FactorImmunization	Factor immunization models
	FactorYieldImmunization	Factor immunization models, maximizing the non-linear portfolio yield
	GuaranteeData	Data for the Insurance Policies with Guarantee - The Prometeia Model.
	GuaranteeModel	Managing insurance policies with guarantee - The Prometeia Model.
	GuaranteeModelGDX	Managing insurance policies with guarantee - The Prometeia Model - GDX Input
	Horizon	Portfolio Horizon returns model.
	Immunization	Immunization models (present value, duration).
	InternationalMeanVar	International Asset Allocation model.
	JDate	Using GAMS time/date functions.
	MAD	Mean-absolute deviation model.
	MeanVar	Mean-variance efficient portfolios
	MeanVarMip	Mean-variance model with diversification constraints.
	MeanVarShort	Mean-variance model allowing short sales
	PersonalAssetAllocation	PAA.gms: Personal asset allocation.
	PutCall	Put/Call efficient frontier model.
	ReadData	Reads excel files and converts them to gdx format
	Regret	Regret models.
	SelectiveHedging	Scenario Optimization for selective hedging
	Sharpe	Sharpe model.
	StochDedication	Stochastic Dedication model.
	StochDedicationBL	Stochastic Dedication model with borrowing and lending variables.
	StructuralModel	Linear program for indexed funds
	ThreeStageSPDA	A three stage stochastic programming model for SPDA
	TrackingMAD	Tracking models using MAD.
	TwoStageDeterministic	Deterministic Two-stage program.
	TwoStageStochastic	Stochastic Two-stage program.
	Utility	Utility models.