TY  - BOOK
AU  - Mansini,Renata
AU  - Ogryczak,Włodzimierz
AU  - Speranza,M.Grazia
ED  - SpringerLink (Online service)
TI  - Linear and Mixed Integer Programming for Portfolio Optimization
T2  - EURO Advanced Tutorials on Operational Research,
SN  - 9783319184821
AV  - HD30.23 
U1  - 658.40301 23
PY  - 2015///
CY  - Cham
PB  - Springer International Publishing, Imprint: Springer
KW  - business
KW  - Operations research
KW  - Decision making
KW  - Finance
KW  - Economics, Mathematical
KW  - Management science
KW  - Business and Management
KW  - Operation Research/Decision Theory
KW  - Finance, general
KW  - Quantitative Finance
KW  - Operations Research, Management Science
N1  - 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
N2  - 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
UR  - http://dx.doi.org/10.1007/978-3-319-18482-1
ER  -