Practical Financial Optimization (Andrea Consiglio).

In “Practical Financial Optimization: A Library of GAMS Models”, the authors offer a wide range of models for portfolio optimization based on the powerful and flexible General Algebraic Modeling System (GAMS). GAMS is a language that allows a high-level algebraic representation of complex mathematical models, along with a set of numerical algorithms to solve them, developed in response to a demand for powerful tools for managing large real-world models.

The work begins by providing an overview of GAMS’s structure, as well as addressing issues related to managing data in GAMS models, then offering models for mean variance portfolio optimization that address the issue of balancing the expected return of a portfolio with its risk. Portfolio optimization models for fixed income also perform standard calculations, allowing the user to bootstrapped a yield curve using bond prices, and dedication models allow standard portfolio dedication, with borrowing and reinvestment decisions, being extended to include additional features.