The Leading eBooks Store Online 4,410,490 members ⚫ 1,532,108 ebooks

New to eBooks.com?

Learn more

Linear and Mixed Integer Programming for Portfolio Optimization

Linear and Mixed Integer Programming for Portfolio Optimization by Renata Mansini
Buy this eBook
US$ 69.99
(If any tax is payable it will be calculated and shown at checkout.)

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.

Springer International Publishing; June 2015
131 pages; ISBN 9783319184821
Read online, or download in secure PDF format
Title: Linear and Mixed Integer Programming for Portfolio Optimization
Author: Renata Mansini; Wlodzimierz Ogryczak; M. Grazia Speranza
 
  • News
  • Contents
No entry found