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: 1455 CZK
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Autor: Renata Mansini, Wlodzimierz Ogryczak, Grazia Speranza

Jazyk:

Vazba: Pevná

Vydavatel: Springer International Publishing AG

Dostupnost: Skladem u dodavatele

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

Informace o knize

Autor

Renata Mansini, Wlodzimierz Ogryczak, Grazia Speranza

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2015

Stránek

119

EAN

9783319184814

ISBN

3319184814

Enbook ID

09266914

Vydavatel

Springer International Publishing AG

Hmotnost

348

Rozměry

162 x 247 x 13

Kompletní 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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