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arXiv · 2005.13459

Otimizacao e Processos Estocasticos Aplicados a Economia e Financas

Julio Michael Stern·Carlos Alberto de Braganca Pereira·Celma de Oliveira Ribeiro·Cibele Dunder·Fabio Nakano·Marcelo Lauretto
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Abstract

Optimization and Stochastic Processes Applied to Economy and Finance -- is the name of this book translated to English; It has been used at the IME-USP - The Institute of Mathematics and Statistics of the University of Sao Paulo, since 1993. Contents: Ch.1: Linear Programming; Ch.2: Non-Linear Programming; Ch.3: Quadratic Programming; Ch.4: Markowitz Model; Ch.5: Dynamic Programming; Ch.6: LQG Estimation and Control; Ch.7: Decision Trees; Ch.8: Pension Funds; Ch.9: Mixed Portfolios Including Derivative Contracts; Appendices: App.A: Matlab; App.B: Critical-Point Software; App.C: Computational Linear Algebra; App.D: Probability; App.E: Computer Codes. This book is written in Portuguese language.

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Julio Michael Stern, Carlos Alberto de Braganca Pereira, Celma de Oliveira Ribeiro, Cibele Dunder, Fabio Nakano, Marcelo Lauretto. 2020-05-25. Otimizacao e Processos Estocasticos Aplicados a Economia e Financas. https://arxiv.org/abs/2005.13459

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