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Carte Linear and Mixed Integer Programming for Portfolio Optimization Renata Mansini

Linear and Mixed Integer Programming for Portfolio Optimization

Autor: Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
Limbă: engleză
Legare: Carte broșată
Editura: Springer International Publishing AG
Disponibilitate: În depozitul extern în cantități mici
Expediem în 13-18 zile
349.18 lei
This book presents solutions to the general problem of single period portfolio optimization. It intr...

Informații despre carte

Autor
Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
Limbă
engleză
Legare
Carte - Carte broșată
Publicat
2016
Pagini
119
EAN
9783319386218
ISBN
3319386212
Enbook ID
15194558
Editura
Springer International Publishing AG
Greutate
2117
Dimensiuni
155 x 235 x 7

Descriere completă

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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