Linear and Mixed Integer Programming for Portfolio Optimization için kapak resmi
Linear and Mixed Integer Programming for Portfolio Optimization
Başlık:
Linear and Mixed Integer Programming for Portfolio Optimization
Yazar:
Mansini, Renata. author.
ISBN:
9783319184821
Fiziksel Niteleme:
XII, 119 p. 25 illus., 12 illus. in color. online resource.
Seri:
EURO Advanced Tutorials on Operational Research,
İçindekiler:
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.
Özet:
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.