國立虎尾科技大學 |

Linear and Mixed Integer Programming for Portfolio Optimization

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Linear and Mixed Integer Programming for Portfolio Optimization/ by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
作者:	Mansini, Renata.
其他作者:	Ogryczak, Włodzimierz.
面頁冊數:	XII, 119 p. 25 illus., 12 illus. in color.online resource. :
Contained By:	Springer Nature eBook
標題:	Operations research. -
電子資源:	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
LDR:02584nam a22004215i 4500 001 960438
003 DE-He213
005 20200920040125.0
007 cr nn 008mamaa
008 201211s2015 gw | s |||| 0|eng d
020 $a 9783319184821 $9 978-3-319-18482-1
024 7 $a 10.1007/978-3-319-18482-1 $2 doi
035 $a 978-3-319-18482-1
050 4 $a HD30.23
072 7 $a KJT $2 bicssc
072 7 $a BUS049000 $2 bisacsh
072 7 $a KJT $2 thema
072 7 $a KJMD $2 thema
082 0 4 $a 658.40301 $2 23
100 1 $a Mansini, Renata. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1254371
245 1 0 $a Linear and Mixed Integer Programming for Portfolio Optimization $h [electronic resource] / $c by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
250 $a 1st ed. 2015.
264 1 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2015.
300 $a XII, 119 p. 25 illus., 12 illus. in color. $b online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
347 $a text file $b PDF $2 rda
490 1 $a EURO Advanced Tutorials on Operational Research, $x 2364-687X
505 0 $a 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.
520 $a 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.
650 0 $a Operations research. $3 573517
650 0 $a Decision making. $3 528319
650 0 $a Finance. $3 559073
650 0 $a Economics, Mathematical . $3 1253712
650 0 $a Management science. $3 719678
650 1 4 $a Operations Research/Decision Theory. $3 669176
650 2 4 $a Finance, general. $3 1069041
650 2 4 $a Quantitative Finance. $3 669372
650 2 4 $a Operations Research, Management Science. $3 785065
700 1 $a Ogryczak, Włodzimierz. $e author. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 1254372
700 1 $a Speranza, M. Grazia. $4 aut $4 http://id.loc.gov/vocabulary/relators/aut $3 897832
710 2 $a SpringerLink (Online service) $3 593884
773 0 $t Springer Nature eBook
776 0 8 $i Printed edition: $z 9783319184838
776 0 8 $i Printed edition: $z 9783319184814
776 0 8 $i Printed edition: $z 9783319386218
830 0 $a EURO Advanced Tutorials on Operational Research, $x 2364-687X $3 1254373
856 4 0 $u https://doi.org/10.1007/978-3-319-18482-1
912 $a ZDB-2-SBE
912 $a ZDB-2-SXBM
950 $a Business and Economics (SpringerNature-11643)
950 $a Business and Management (R0) (SpringerNature-43719)