Linear and Mixed Integer Programming for Portfolio Optimization

Name: Linear and Mixed Integer Programming for Portfolio Optimization
Brand: Springer International Publishing AG
SKU: 9783319386218
Price: 1538 CZK
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Autor: Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza

Jazyk:

Vazba: Brožovaná

Vydavatel: Springer International Publishing AG

Dostupnost: Skladem u dodavatele v malém množství

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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, M. Grazia Speranza

Jazyk

Angličtina

Vazba

Kniha - Brožovaná

Vydáno

2016

Stránek

119

EAN

9783319386218

ISBN

3319386212

Enbook ID

15194558

Vydavatel

Springer International Publishing AG

Hmotnost

2117

Rozměry

155 x 235 x 7

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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