2020/05/25 by Julio Michael Stern, Carlos Alberto de Bragança Pereira, Stern, Julio Michael +9
Economics, Econometrics and Finance · #Computational Engineering #Economic Theory and Policy #Economic theories and models #FOS: Computer and information sciences #Finance #and Science (cs.CE)
paper · pdf · doi:10.48550/arxiv.2005.13459
openalex publication_date 2020/05/25 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
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.