Otimizacao e Processos Estocasticos Aplicados a Economia e Financas

05/25/2020

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by   Julio Michael Stern, et al.

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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.