Optimization Methods in Finance

Optimization methods play a central role in financial modeling. This textbook is devoted to explaining how state-of-the-art optimization theory algorithms and software can be used to efficiently solve problems in computational finance. It discusses some classical meanvariance portfolio optimization models as well as more modern developments such as models for optimal trade execution and dynamic portfolio allocation with transaction costs and taxes. Chapters discussing the theory and efficient solution methods for the main classes of optimization problems alternate with chapters discussing their use in the modeling and solution of central problems in mathematical finance. This book will be interesting and useful for students academics and practitioners with a background in mathematics operations research or financial engineering. The second edition includes new examples and exercises as well as a more detailed discussion of meanvariance optimization multi-period models and additional material to highlight the relevance to finance.