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Linear and Mixed Integer Programming for Portfolio Optimization
Taschenbuch von Renata Mansini (u. a.)
Sprache: Englisch

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Beschreibung
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.
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.
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2016
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 119
Inhalt: xii
119 S.
13 s/w Illustr.
12 farbige Illustr.
119 p. 25 illus.
12 illus. in color.
ISBN-13: 9783319386218
ISBN-10: 3319386212
Sprache: Englisch
Herstellernummer: 978-3-319-38621-8
Ausstattung / Beilage: Previously published in hardcover
Autor: Mansini, Renata
Ogryczak, Wlodzimierz
Speranza, M. Grazia
Auflage: Softcover reprint of the original 1st ed. 2015
Hersteller: Springer
Springer, Berlin
Springer International Publishing
Abbildungen: XII, 119 p. 25 illus., 12 illus. in color.
Maße: 235 x 155 x 7 mm
Von/Mit: Renata Mansini (u. a.)
Erscheinungsdatum: 17.10.2016
Gewicht: 0,217 kg
preigu-id: 111862203
Inhaltsverzeichnis
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.
Details
Erscheinungsjahr: 2016
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Seiten: 119
Inhalt: xii
119 S.
13 s/w Illustr.
12 farbige Illustr.
119 p. 25 illus.
12 illus. in color.
ISBN-13: 9783319386218
ISBN-10: 3319386212
Sprache: Englisch
Herstellernummer: 978-3-319-38621-8
Ausstattung / Beilage: Previously published in hardcover
Autor: Mansini, Renata
Ogryczak, Wlodzimierz
Speranza, M. Grazia
Auflage: Softcover reprint of the original 1st ed. 2015
Hersteller: Springer
Springer, Berlin
Springer International Publishing
Abbildungen: XII, 119 p. 25 illus., 12 illus. in color.
Maße: 235 x 155 x 7 mm
Von/Mit: Renata Mansini (u. a.)
Erscheinungsdatum: 17.10.2016
Gewicht: 0,217 kg
preigu-id: 111862203
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