Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza

Linear and Mixed Integer Programming for Portfolio Optimization

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• EURO Advanced Tutorials on Operational Research
• Verlag: Springer / Springer International Publishing / Springer, Berlin
• Artikelnr. des Verlages: 978-3-319-38621-8
• Softcover reprint of the original 1st ed. 2015
• Seitenzahl: 119
• Englisch
• Abmessung: 235mm x 155mm x 7mm
• Gewicht: 217g
• ISBN-13: 9783319386218
• ISBN-10: 3319386212
• Artikelnr.: 46435025

Inhaltsangabe

Portfolio optimization.- Linear models for portfolio optimization.- Portfolio optimization with transaction costs.- Portfolio optimization with other real features.- Rebalancing and index tracking.- Theoretical framework.- Computational issues.