Linear and mixed integer programming for portfolio optimization: [electronic resource] /: Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.

Mansini, Renata,; Ogryczak, Włodzimierz,; Speranza, M. G.

doi:10.1007/978-3-319-18482-1

Linear and mixed integer programming for portfolio optimization [electronic resource] / Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.

Mansini, Renata, author.; Ogryczak, Włodzimierz, author.; Speranza, M. G. (Maria Grazia), author.

2015

HG4529.5

Available Online

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Title

Linear and mixed integer programming for portfolio optimization [electronic resource] / Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.

Author

Mansini, Renata, author.

ISBN

9783319184821 electronic book
3319184822 electronic book
9783319184814

DOI

https://doi.org/10.1007/978-3-319-18482-1

Published

Cham : Springer, 2015.

Language

English

Description

1 online resource (xii, 119 pages) : illustrations.

Item Number

10.1007/978-3-319-18482-1 doi

Call Number

HG4529.5

Dewey Decimal Classification

332.601/5118

Summary

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.

Bibliography, etc. Note

Includes bibliographical references.

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Access limited to authorized users.

Source of Description

Online resource; title from PDF title page (SpringerLink, viewed June 18, 2015).

Added Author

Ogryczak, Włodzimierz, author.
Speranza, M. G. (Maria Grazia), author.

Series

EURO Advanced Tutorials on Operational Research.

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Online Access