Linear and Mixed Integer Programming for Portfolio Optimization

Name: Linear and Mixed Integer Programming for Portfolio Optimization
Brand: Springer International Publishing AG
SKU: 9783319184814
Price: 63.59 EUR
Availability: InStock

Autor: Renata Mansini, Wlodzimierz Ogryczak, Grazia Speranza

Jazyk:

Väzba: Pevná

Vydavateľ: Springer International Publishing AG

Dostupnosť: Skladom u dodávateľa

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63.59 €

This book presents solutions to the general problem of single period portfolio optimization. It intr...

Informácie o knihe

Autor

Renata Mansini, Wlodzimierz Ogryczak, Grazia Speranza

Jazyk

Angličtina

Väzba

Kniha - Pevná

Vydalo

2015

Stránok

119

EAN

9783319184814

ISBN

3319184814

Enbook ID

09266914

Vydavateľ

Springer International Publishing AG

Hmotnosť

348

Rozmery

162 x 247 x 13

Kompletný popis

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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Linear and Mixed Integer Programming for Portfolio Optimization

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