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Linear And Mixed Integer Programming For Portfolio Optimization
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PRODUCT INFORMATION

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    Specifications

    Category Type
    Business Strategy
    ISBN
    9783319184814.0
    Item EAN
    2724330359246
    People
    Author
    Renata Mansini
    People
    Publisher
    Springer
    Category Type
    Business Strategy
    ISBN
    9783319184814.0
    Item EAN
    2724330359246
    People
    Author
    Renata Mansini
    People
    Publisher
    Springer
    Languages and countries
    Book Language
    English
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    Description:

    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

    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.

 

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