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 |