Linear and Mixed Integer Programming for Portfolio Optimization
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 f...
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Springer
2015
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| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59449 |
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oai:scholar.dlu.edu.vn:DLU123456789-594492023-11-11T06:40:41Z Linear and Mixed Integer Programming for Portfolio Optimization Mansini, Renata Ogryczak, Włodzimierz Speranza, M Integer programming Linear programming Mathematical models Portfolio management 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. 2015-12-15T02:11:47Z 2015-12-15T02:11:47Z 2015 Book 978-3-319-18482-1 978-3-319-18481-4 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59449 en application/pdf Springer |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| topic |
Integer programming Linear programming Mathematical models Portfolio management |
| spellingShingle |
Integer programming Linear programming Mathematical models Portfolio management Mansini, Renata Ogryczak, Włodzimierz Speranza, M Linear and Mixed Integer Programming for Portfolio Optimization |
| description |
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. |
| format |
Book |
| author |
Mansini, Renata Ogryczak, Włodzimierz Speranza, M |
| author_facet |
Mansini, Renata Ogryczak, Włodzimierz Speranza, M |
| author_sort |
Mansini, Renata |
| title |
Linear and Mixed Integer Programming for Portfolio Optimization |
| title_short |
Linear and Mixed Integer Programming for Portfolio Optimization |
| title_full |
Linear and Mixed Integer Programming for Portfolio Optimization |
| title_fullStr |
Linear and Mixed Integer Programming for Portfolio Optimization |
| title_full_unstemmed |
Linear and Mixed Integer Programming for Portfolio Optimization |
| title_sort |
linear and mixed integer programming for portfolio optimization |
| publisher |
Springer |
| publishDate |
2015 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/59449 |
| _version_ |
1782532912910958592 |