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Linear and mixed integer programming...

Mansini, Renata.

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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, Wlodzimierz Ogryczak, M. Grazia Speranza.
Author:	Mansini, Renata.
other author:	Ogryczak, Wlodzimierz.
Published:	Cham :Springer International Publishing : : 2015.,
Description:	xii, 119 p. :ill. (some col.), digital ;24 cm.
[NT 15003449]:	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
Subject:	Portfolio management - Mathematical models. -
Online resource:	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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100 1 $a Mansini, Renata. $3 2156287
245 1 0 $a Linear and mixed integer programming for portfolio optimization $h [electronic resource] / $c by Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza.
260 $a Cham : $b Springer International Publishing : $b Imprint: Springer, $c 2015.
300 $a xii, 119 p. : $b ill. (some col.), digital ; $c 24 cm.
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 Portfolio management $x Mathematical models. $3 647826
650 0 $a Linear programming. $3 560448
650 0 $a Integer programming. $3 648270
650 1 4 $a Economics/Management Science. $3 890844
650 2 4 $a Operation Research/Decision Theory. $3 1620900
650 2 4 $a Finance/Investment/Banking. $3 1530231
650 2 4 $a Quantitative Finance. $3 891090
650 2 4 $a Operations Research, Management Science. $3 1532996
700 1 $a Ogryczak, Wlodzimierz. $3 2156288
700 1 $a Speranza, M. Grazia. $3 1005475
710 2 $a SpringerLink (Online service) $3 836513
773 0 $t Springer eBooks
830 0 $a EURO advanced tutorials on operational research. $3 2156289
856 4 0 $u http://dx.doi.org/10.1007/978-3-319-18482-1
950 $a Business and Economics (Springer-11643)