ENGLISH

Linear and Mixed Integer Programming for Portfolio Optimization

By Renata Mansini , Włodzimierz Ogryczak , M. Grazia Speranza (auth.)

Book information

Publisher
Springer International Publishing
Year
2015
ISBN
978-3-319-18481-4, 978-3-319-18482-1
DOI
10.1007/978-3-319-18482-1
Language
english
Format
PDF
Filesize
3 MB (3023880 bytes)
Series
EURO Advanced Tutorials on Operational Research
Edition
1
Pages
119\131
Topic
Economy
Time added
2015-07-18 18:00:00
Management ScienceOperation Research/Decision Theory; Finance/Invest

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.

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