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Linear and Mixed Integer Programming for Portfolio Optimization

Record Type:	Language materials, printed : Monograph/item
Title/Author:	Linear and Mixed Integer Programming for Portfolio Optimization/ by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
Author:	Mansini, Renata.
other author:	Ogryczak, Włodzimierz.
Description:	XII, 119 p. 25 illus., 12 illus. in color.online resource. :
Contained By:	Springer Nature eBook
Subject:	Operations research. -
Online resource:	https://doi.org/10.1007/978-3-319-18482-1
ISBN:	9783319184821

Linear and Mixed Integer Programming for Portfolio Optimization
Mansini, Renata.

Linear and Mixed Integer Programming for Portfolio Optimization[electronic resource] /by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza. - 1st ed. 2015. - XII, 119 p. 25 illus., 12 illus. in color.online resource. - EURO Advanced Tutorials on Operational Research,2364-687X. - EURO Advanced Tutorials on Operational Research,.

Portfolio optimization -- Linear models for portfolio optimization -- Portfolio optimization with transaction costs -- Portfolio optimization with other real features -- Rebalancing and index tracking -- Theoretical framework -- Computational issues.

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

ISBN: 9783319184821

Standard No.: 10.1007/978-3-319-18482-1doiSubjects--Topical Terms:

573517
Operations research.

LC Class. No.: HD30.23

Dewey Class. No.: 658.40301

Linear and Mixed Integer Programming for Portfolio Optimization
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