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 Store-Operated Ca²⁺ Entry (SOCE) Pathways by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Earth Stewardship by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Genomics Assisted Breeding of Crops for Abiotic Stress Tolerance, Vol. II by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Ethical Decision Making: Introduction to Cases and Concepts in Ethics by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Techno-Societal 2016 by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book The Birth of Thought in the Spanish Language by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Safe Use of Wastewater in Agriculture by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Fundamentals and Applications of Hardcopy Communication by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Infinite Regress Arguments by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Laparoscopic Surgery by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Complex Networks and Their Applications VII by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Inorganic Scintillators for Detector Systems by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Optimal Control: Novel Directions and Applications by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book New Metropolitan Perspectives by Renata Mansini, M. Grazia Speranza, Włodzimierz Ogryczak
Cover of the book Design and Computation of Modern Engineering Materials 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