GAMS Summer School: Mathematical Modeling and Optimization with Applications in Finance
نویسنده
چکیده
2 The Dedication, or Cash-Flow Matching (CFM) Model. 3 2.1 The Deterministic Case . . . . . . . . . . . . . . . . . . . . . 4 2.1.1 Short-term reinvesting and borrowing . . . . . . . . . 5 2.1.2 Tradeability Considerations . . . . . . . . . . . . . . . 6 2.1.3 Transactions costs . . . . . . . . . . . . . . . . . . . . 8 2.1.4 Rebalancing an existing portfolio . . . . . . . . . . . . 8 2.1.5 Time-mismatched cash flows . . . . . . . . . . . . . . 9 2.1.6 End-of-horizon effects . . . . . . . . . . . . . . . . . . 9 2.1.7 Diversification considerations . . . . . . . . . . . . . . 10 2.1.8 Net present values and duals . . . . . . . . . . . . . . 10 2.2 A variation: Maximizing Horizon Return . . . . . . . . . . . . 11 2.3 The Stochastic Case . . . . . . . . . . . . . . . . . . . . . . . 12 2.4 Scenario Generation . . . . . . . . . . . . . . . . . . . . . . . 14
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