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Optimal Financial Decision Making Under Uncertainty

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Optimal Financial Decision Making under Uncertainty

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 245))

Abstract

We use a fairly general framework to analyze a rich variety of financial optimization models presented in the literature, with emphasis on contributions included in this volume and a related special issue of OR Spectrum. We do not aim at providing readers with an exhaustive survey, rather we focus on a limited but significant set of modeling and methodological issues. The framework is based on a benchmark discrete-time stochastic control optimization framework, and a benchmark financial problem, asset-liability management, whose generality is considered in this chapter. A wide set of financial problems, ranging from asset allocation to financial engineering problems, is outlined, in terms of objectives, risk models, solution methods, and model users. We pay special attention to the interplay between alternative uncertainty representations and solution methods, which have an impact on the kind of solution which is obtained. Finally, we outline relevant directions for further research and optimization paradigms integration.

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Authors and Affiliations

  1. Department of Management Economics and Quantitative Methods, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, Italy

    Giorgio Consigli

  2. Risk Analytics and Optimization Chair, École Polytechnique Fédérale de Lausanne, CH-1015, Lausanne, Switzerland

    Daniel Kuhn

  3. Dipartimento di Scienze Matematiche, Politecnico di Torino, Corso Duca degli Abruzzi 24, Torino, 10129, Italy

    Paolo Brandimarte

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  1. Giorgio Consigli
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  2. Daniel Kuhn
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  3. Paolo Brandimarte
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Correspondence to Giorgio Consigli .

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Editors and Affiliations

  1. University of Bergamo, Bergamo, Italy

    Giorgio Consigli

  2. EPFL, Lausanne, Cham, United Kingdom

    Daniel Kuhn

  3. Politecnico di Torino, Torino, Italy

    Paolo Brandimarte

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Consigli, G., Kuhn, D., Brandimarte, P. (2017). Optimal Financial Decision Making Under Uncertainty. In: Consigli, G., Kuhn, D., Brandimarte, P. (eds) Optimal Financial Decision Making under Uncertainty. International Series in Operations Research & Management Science, vol 245. Springer, Cham. https://doi.org/10.1007/978-3-319-41613-7_11

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