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Portfolio construction through mixed...

Bertsimas, Dimitris.

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Portfolio construction through mixed integer programming = Facility and Equipment Planning /

Record Type:	Projected and video material : Monograph/item
Title/Author:	Portfolio construction through mixed integer programming/ Produced by Institute for Operations Research and The Management Sciences.
Reminder of title:	Facility and Equipment Planning /
other author:	Bertsimas, Dimitris.
Published:	Linthicum, MD :Institute for Operations Research and The Management Sciences :
Description:	1 computer laser optical disc :sd., col. ;4 3/4 in.
Notes:	At the head of title on container: INFORMS/CPMS
Series:	Edelman award for management science achievement;
Subject:	Management Science -

Portfolio construction through mixed integer programming = Facility and Equipment Planning /
Portfolio construction through mixed integer programmingFacility and Equipment Planning /[videorecording] :Produced by Institute for Operations Research and The Management Sciences. - Linthicum, MD :Institute for Operations Research and The Management Sciences - 1 computer laser optical disc :sd., col. ;4 3/4 in. - Edelman award for management science achievement;[v.107].

At the head of title on container: INFORMS/CPMS

Presentors, Dimitris Bertsimas, Christopher Darnell, and Robert Soucy

An MIP approach was developed to construct port-folios "close" (in terms of sector and security exposure, liquidity, turnover and expected return) to target portfolios. The methodology controls frictional cost and does so with fewer stocks and requires fewer tickets. Grantham, Mayo & van Otterloo, an investment firm managing over

VCD format.

US120.00Subjects--Topical Terms:

730897
Management Science

Portfolio construction through mixed integer programming = Facility and Equipment Planning /
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245 0 0 $a Portfolio construction through mixed integer programming $h [videorecording] : $b Facility and Equipment Planning / $c Produced by Institute for Operations Research and The Management Sciences.
260 $a Linthicum, MD : $b Institute for Operations Research and The Management Sciences
300 $a 1 computer laser optical disc : $b sd., col. ; $c 4 3/4 in.
440 $a Edelman award for management science achievement; $v [v.107]
500 $a At the head of title on container: INFORMS/CPMS
500 $a Title on cassette and cassette case : 98.03 Grantham Mayo van Otterloo & Co., LLC, Portfolio construction through mixed integer programming
511 0 $a Presentors, Dimitris Bertsimas, Christopher Darnell, and Robert Soucy
520 $a An MIP approach was developed to construct port-folios "close" (in terms of sector and security exposure, liquidity, turnover and expected return) to target portfolios. The methodology controls frictional cost and does so with fewer stocks and requires fewer tickets. Grantham, Mayo & van Otterloo, an investment firm managing over $2 6 billion for 653 clients, currently uses this approach in the construction of 11 quantitatively managed portfolios representing over $8 billion in assets since October 1996. The number of names of securities has been reduced by an average 40-60% with only a marginal decrease in liquidity, while maintaining the turnover, performance and sector exposures of target portfolios; the costs of trading portfolios have also decreased annually by at least $4 million due to a 75-85% reduction in the number of tickets to trade portfolios and the ability to have a cost model in the objective function.
538 0 $a VCD format.
650 $a Management Science $3 730897
700 $a Bertsimas, Dimitris. $3 731005
700 $a Darnell, Christopher. $3 731006
700 $a Soucy, Robert. $3 731007
710 $a Institute of Management Science. $3 730896
740 0 1 $a Grantham Mayo van Otterloo & Co., LLC, Portfolio construction through mixed integer programming