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Reference textbook:Practical Financial Optimization: A Library of GAMS Models
Author(s): Soren S Nielson
Description:
The introductory part consists of Chapters 1 and 2, and gives an introduction to the GAMS modeling system and discusses data management. These chapters can be skipped by readers familiar with GAMS.
The bulk of the optimization models are given in the five chapters corresponding to the PFO chapters on portfolio optimization models; here we also develop one or more GAMS models for each model class. This part is the core of the book. It develops GAMS models for supporting the classic mean-variance analysis in Chapter 3, for fixed-income portfolios in Chapter 4, for scenario optimization in Chapter 5, for dynamic portfolio optimization using stochastic programming in Chapter 6, and for creating indexed portfolios in Chapter 7.
Finally, Chapter 8 deals with case studies and develops GAMS models for diverse real-world applications. The four sections in this chapter develop complete models for all the applications discussed in PFO: international asset allocation, corporate bond portfolio management, insurance policies with guarantees and personal financial planning. The models in this part capture policy restrictions, regulatory requirements, business objectives, and similar practical considerations, and they come complete with real-world data.
Practical Financial Optimization with GAMS.pdf
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