Bøger i Foundations and Trends in Optimization serien

Multi-Period Trading via Convex Optimization collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.

The Many Faces of Degeneracy in Conic Optimization describes various reasons for the loss of strict feasibility, whether due to poor modeling choices or (more interestingly) rich underlying structure, and discusses ways to cope with it and, in many pronounced cases, how to use it as an advantage.