Linear and Mixed Integer Programming for Portfolio Optimization (Paperback, Softcover reprint of the original 1st ed. 2015)

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

Imprint:	Springer International Publishing AG
Country of origin:	Switzerland
Series:	EURO Advanced Tutorials on Operational Research
Release date:	October 2016
First published:	2015
Authors:	Renata Mansini • WÅ‚odzimierz Ogryczak • M.Grazia Speranza
Dimensions:	235 x 155 x 7mm (L x W x T)
Format:	Paperback
Pages:	119
Edition:	Softcover reprint of the original 1st ed. 2015
ISBN-13:	978-3-319-38621-8
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Money & Finance > General
LSN:	3-319-38621-2
Barcode:	9783319386218

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