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Linear and Mixed Integer Programming for Portfolio Optimization (Paperback, Softcover reprint of the original 1st ed. 2015)
Loot Price: R1,935
Discovery Miles 19 350
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Linear and Mixed Integer Programming for Portfolio Optimization (Paperback, Softcover reprint of the original 1st ed. 2015)
Series: EURO Advanced Tutorials on Operational Research
Expected to ship within 18 - 22 working days
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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.
General
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