Practical Financial Optimization: A Library of GAMS Models by Soren S Nielson, Andrea Consiglio and Stavros A. Zenios
English | ISBN: 1405133716 | 2010 | 198 pages | PDF | 1,4 MB
In Practical Financial Optimization: A Library of GAMS Models, the authors provide a diverse set of models for portfolio optimization, based on the General Algebraic Modelling System. ‘GAMS’ consists of a language which allows a high-level, algebraic representation of mathematical models and a set of solvers – numerical algorithms – to solve them.