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Linear and mixed integer programming...

Mansini, Renata.

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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, Wlodzimierz Ogryczak, M. Grazia Speranza.
作者:	Mansini, Renata.
其他作者:	Ogryczak, Wlodzimierz.
出版者:	Cham :Springer International Publishing : : 2015.,
面頁冊數:	xii, 119 p. :ill. (some col.), digital ;24 cm.
內容註:	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.
Contained By:	Springer eBooks
標題:	Portfolio management - Mathematical models. -
電子資源:	http://dx.doi.org/10.1007/978-3-319-18482-1
ISBN:	9783319184821 (electronic bk.)

Linear and mixed integer programming for portfolio optimization
Mansini, Renata.

Linear and mixed integer programming for portfolio optimization[electronic resource] /by Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza. - Cham :Springer International Publishing :2015. - xii, 119 p. :ill. (some col.), digital ;24 cm. - 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 (electronic bk.)

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

647826
Portfolio management
--Mathematical models.

LC Class. No.: HG4529.5

Dewey Class. No.: 332.6015118

Linear and mixed integer programming for portfolio optimization
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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.
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