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Practical Financial Optimization Models by Consiglio, Nielsen and Zenios

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

Seq Name Chapter PFONr Description
001 DedicationNoBorrow Data Management 4.2.3 Portfolio dedication (without borrowing)
002 MeanVar Mean-Variance Portfolio Optimization 3.2.3 Mean-variance efficient portfolios
003 Estimate Mean-Variance Portfolio Optimization Data estimation for mean-variance model
004 MeanVarShort Mean-Variance Portfolio Optimization 3.2 Sec. Mean-variance model allowing short sales
005 Sharpe Mean-Variance Portfolio Optimization 2.8.11 Def. Sharpe model.
006 Borrow Mean-Variance Portfolio Optimization 3.2.2 Sec. Mean-Variance model with borrowing constraints.
007 MeanVarMip Mean-Variance Portfolio Optimization 3.2.3, 3.2.4 Sec. Mean-variance model with diversification constraints.
008 InternationalMeanVar Mean-Variance Portfolio Optimization International Asset Allocation model.
009 JDate Portfolio Models for Fixed Income Using GAMS time/date functions.
010 DiscreteFinCalc Portfolio Models for Fixed Income 2.4.5 Def. Financial Calculator for discrete time discounting
011 ContinuousFinCalc Portfolio Models for Fixed Income 2.4.4 Def. Financial Calculator for continuos time discounting
012 Bootstrap Portfolio Models for Fixed Income 4.2.6 Sec. Bootstrapping the yield curve.
013 Dedication Portfolio Models for Fixed Income 4.2.3 Dedication model.
014 Horizon Portfolio Models for Fixed Income 4.2.4 Portfolio Horizon returns model.
015 DedicationMIP Portfolio Models for Fixed Income 4.2 Sec. Dedication model with tradeability constraints.
016 Immunization Portfolio Models for Fixed Income 4.3.1 Immunization models (present value, duration).
017 FactorImmunization Portfolio Models for Fixed Income 4.4.1 Factor immunization models
018 FactorYieldImmunization Portfolio Models for Fixed Income 4.5 Sec. Factor immunization models, maximizing the non-linear portfolio yield
019 CreditImmunization Portfolio Models for Fixed Income 4.5 Sec. Factor Immunization model for corporate bonds.
020 MAD Scenario Optimization 5.3.1 Mean-absolute deviation model.
021 TrackingMAD Scenario Optimization 5.3.4 Tracking models using MAD.
022 Regret Scenario Optimization 5.4.1 Regret models.
023 CVaR Scenario Optimization 5.5.1, 5.5.2 Conditional Value at Risk models.
024 Utility Scenario Optimization 5.6.1 Utility models.
025 PutCall Scenario Optimization 5.7.1, 5.7.2, 5.7.3 Put/Call efficient frontier model.
026 StochDedication Dynamic Optimization with Stochastic Programming 6.4.1 Stochastic Dedication model.
027 StochDedicationBL Dynamic Optimization with Stochastic Programming 6.4.2 Stochastic Dedication model with borrowing and lending variables.
028 TwoStageDeterministic Dynamic Optimization with Stochastic Programming 6.5 Sec. Deterministic Two-stage program.
029 TwoStageStochastic Dynamic Optimization with Stochastic Programming 6.5 Sec. Stochastic Two-stage program.
030 ThreeStageSPDA Dynamic Optimization with Stochastic Programming 6.6 Sec. A three stage stochastic programming model for SPDA
031 ReadData Index Funds Reads excel files and converts them to gdx format
032 StructuralModel Index Funds 7.3.1 Linear program for indexed funds
033 ComovementsModel Index Funds 7.3.3 Two-sided tracking model
034 SelectiveHedging Index Funds 10.5.1 Scenario Optimization for selective hedging
035 BondIndex Case Studies in Financial Optimization 7.4.4 Tracking international bond index - The BSI Model.
036 BondIndexData Case Studies in Financial Optimization Data for the Bond Index Model.
037 Corporate Case Studies in Financial Optimization 11.5.1, 11.5.2 Corporate bond indexation model
038 CorporateCVaR Case Studies in Financial Optimization 5.5.1 Conditional Value at Risk models for corporate bond management.
039 GuaranteeModel Case Studies in Financial Optimization 12.4.1 Managing insurance policies with guarantee - The Prometeia Model.
040 PersonalAssetAllocation Case Studies in Financial Optimization 13.5.1 PAA.gms: Personal asset allocation.
041 GuaranteeData Case Studies in Financial Optimization Data for the Insurance Policies with Guarantee - The Prometeia Model.
042 GuaranteeModelGDX Case Studies in Financial Optimization 12.4.1 Managing insurance policies with guarantee - The Prometeia Model - GDX Input