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
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
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.

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.

More books from Springer International Publishing

Cover of the book Novel (Trans)dermal Drug Delivery Strategies by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Black Scholarly Activism between the Academy and Grassroots by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Methods of Applied Mathematics with a Software Overview by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Risk Assessment and Risk-Driven Quality Assurance by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Magnetic Order and Coupling Phenomena by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Toward a Cosmopolitan Ethics of Mobility by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Practical Electrical Engineering by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Geological Setting, Palaeoenvironment and Archaeology of the Red Sea by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Big Data-Enabled Nursing by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Memory Politics, Identity and Conflict by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Fungal Applications in Sustainable Environmental Biotechnology by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Model Validation and Uncertainty Quantification, Volume 3 by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Inflammation, Aging and Cancer by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book The Dawn Angiosperms by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Anion Exchange Membrane Fuel Cells by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy