03720nam 22007455 450 991029846610332120230810184449.03-319-18482-210.1007/978-3-319-18482-1(CKB)3710000000436756(SSID)ssj0001558264(PQKBManifestationID)16183083(PQKBTitleCode)TC0001558264(PQKBWorkID)14819279(PQKB)10564852(DE-He213)978-3-319-18482-1(MiAaPQ)EBC6315329(MiAaPQ)EBC5589092(Au-PeEL)EBL5589092(OCoLC)911179422(PPN)18639909X(EXLCZ)99371000000043675620150610d2015 u| 0engurnn|008mamaatxtccrLinear and Mixed Integer Programming for Portfolio Optimization /by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza1st ed. 2015.Cham :Springer International Publishing :Imprint: Springer,2015.1 online resource (XII, 119 p. 25 illus., 12 illus. in color.) EURO Advanced Tutorials on Operational Research,2364-6888Bibliographic Level Mode of Issuance: Monograph3-319-18481-4 Portfolio optimization -- Linear models for portfolio optimization -- Portfolio optimization with transaction costs -- Portfolio optimization with other real features -- Rebalancing and index tracking -- Theoretical framework -- Computational issues.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.EURO Advanced Tutorials on Operational Research,2364-6888Operations researchFinanceSocial sciencesMathematicsManagement scienceOperations Research and Decision TheoryFinancial EconomicsMathematics in Business, Economics and FinanceOperations Research, Management Science Operations research.Finance.Social sciencesMathematics.Management science.Operations Research and Decision Theory.Financial Economics.Mathematics in Business, Economics and Finance.Operations Research, Management Science .650Mansini Renataauthttp://id.loc.gov/vocabulary/relators/aut758972Ogryczak Włodzimierzauthttp://id.loc.gov/vocabulary/relators/autSperanza M. Graziaauthttp://id.loc.gov/vocabulary/relators/autMiAaPQMiAaPQMiAaPQBOOK9910298466103321Linear and Mixed Integer Programming for Portfolio Optimization2533485UNINA