I have a bachelors degree in economics and I took undergrad courses on mathematical optimization methods for economics and dynamic optimization in economics and econometrics. Now I'm taking an advanced course in finance next year and I've been told to study by myself robust optimization methods. So, given my background, do you have a book recommendation for this topic with applications to economics and finance?

  • $\begingroup$ I am afraid for a bachelor in economics, the Ben Tal / Nemirovski book will be far too technical. $\endgroup$ – vanguard2k Dec 9 '14 at 10:32
  • $\begingroup$ Do you think I will lack the mathematical or the statistics background? $\endgroup$ – capm Dec 9 '14 at 16:01
  • $\begingroup$ Of course its a stretch as I dont know you nor your exact background so you might as well find it easy. You are more than welcome to try and see how you can handle the topics. The book is free for download. If you have a (very) solid background in optimization you schould be able to handle it. For an advanced finance course the books contents will be too much of a specialization I think. $\endgroup$ – vanguard2k Dec 9 '14 at 16:11

A very nice book is the following

Robust optimization by Ben Tal et al.

Not sure if it is to technical, but I liked it a lot! Since it is online available I would give it a try.

  • $\begingroup$ Since I'm only interested in some topics of robust optimization, specially its applications to finance, I reviewed the chapters on Robust Optimization of the Cornuejols' book. Although it provides almost everything I looked for, I see Ben Tal's book goes deeper in the underpinnings of the subjects I looked for, which is what I would recommend if the student had enough time. Lastly, the Cornuejols' book is also available online. $\endgroup$ – capm Dec 30 '14 at 6:52

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