Linear and Mixed Integer Programming for Portfolio Optimization

Business & Finance, Management & Leadership, Operations Research, Finance & Investing, Finance
Cover of the book Linear and Mixed Integer Programming for Portfolio Optimization by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak, Springer International Publishing
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Author: Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak ISBN: 9783319184821
Publisher: Springer International Publishing Publication: June 10, 2015
Imprint: Springer Language: English
Author: Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
ISBN: 9783319184821
Publisher: Springer International Publishing
Publication: June 10, 2015
Imprint: Springer
Language: English

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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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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