Linear and Mixed Integer Programming for Portfolio Optimization - Renata Mansini,W¿odzimierz Ogryczak,M. Grazia Speranza
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Toimitus 17-23 arkipäivässä
30 päivän palautusoikeus
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 pro ... Täydellinen kuvaus
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Kuvaus
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.
Lisätietoja
| Kirjoittaja | Renata Mansini, W¿odzimierz Ogryczak, M. Grazia Speranza |
|---|---|
| Julkaisija | Springer Nature Switzerland |
| Series | EURO Advanced Tutorials on Operational Research |
| Julkaisuvuosi | 2015 |
| Kannen tyyppi | Kovakantinen |
| EAN | 9783319184814 |