Risk Management in Finance and Logistics

Introduces the major quantitative tools in risk management: optimization and stochastic programming.

Presents new concepts and methods for risk management in the more common financial investment situations.

Contains research results for risk control in inventory distribution and network design.

Autorentext
Dr. Chunhui Xu is a professor in Finance and Management Science, Chiba Institute of Technology, Japan. He completed his Doctoral degree in Engineering at Tokyo Institute of Technology, and PhD in systems Engineering at Huazhong University of Science and Technology, China. His research addresses decision under uncertainty and conflicting interests, especially in financial area. Other interests include game theories, optimization techniques, and incentives design in organizations. He has served as Editor-in-Chief of Asian Journal of Management Science and Applications. He is a senior member of IEEE and a member of INFORMS. Dr. Takayuki Shiina is a professor at Department of Industrial and Management Systems Science, School of Creative Science and Engineering, Waseda University, Japan. He received his B.E., M.E., and Doctor of Engineering from Waseda University. He has been working in the field of mathematical programming at Central Research Instituteof Electric Power Industry (Japan), Northwestern University (USA), Chiba Institute of Technology (Japan). His main areas of interest are stochastic programming and integer programming. He was awarded the best paper prize with Professor John R. Birge (University of Chicago) from Japan Society of Industrial and Applied Mathematics.

Inhalt
Part I Risk Management in Finance.- Financial Investment, Financial Risk and Risk Management.- Market Risk Measures in Financial Investments.- Market Risk Control in Investment Decisions.- Market Risk Measures for Flexible Investments.- Market Risk Control in Flexible Investment Decisions.- Part II Risk Management in Logistics.- Basic Results on Stochastic Programming.- Inventory Distribution Problem.- Reorganization of Logistics Network.- Notations in Part I.- Historical prices and monthly profit rates of IBM and INTC: Data used in Chapter 2.- Historical prices of 10 components of the DJIA: data used in Chapter 5.

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