000 03278nam a22005655i 4500
001 vtls000559837
003 RU-ToGU
005 20210922090145.0
007 cr nn 008mamaa
008 170212s2015 gw | s |||| 0|eng d
020 _a9783319184821
_9978-3-319-18482-1
024 7 _a10.1007/978-3-319-18482-1
_2doi
035 _ato000559837
040 _aSpringer
_cSpringer
_dRU-ToGU
050 4 _aHD30.23
072 7 _aKJT
_2bicssc
072 7 _aKJMD
_2bicssc
072 7 _aBUS049000
_2bisacsh
082 0 4 _a658.40301
_223
100 1 _aMansini, Renata.
_eauthor.
_9467156
245 1 0 _aLinear and Mixed Integer Programming for Portfolio Optimization
_helectronic resource
_cby Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
260 _aCham :
_bSpringer International Publishing :
_bImprint: Springer,
_c2015.
300 _aXII, 119 p. 25 illus., 12 illus. in color.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aEURO Advanced Tutorials on Operational Research,
_x2364-687X
505 0 _aPortfolio 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.
520 _aThis 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.
650 0 _abusiness.
_9366240
650 0 _aOperations research.
_9303058
650 0 _aDecision making.
_9294514
650 0 _aFinance.
_9142509
650 0 _aEconomics, Mathematical.
_9304111
650 0 _aManagement science.
_9459954
650 1 4 _aBusiness and Management.
_9459956
650 2 4 _aOperation Research/Decision Theory.
_9411428
650 2 4 _aFinance, general.
_9460231
650 2 4 _aQuantitative Finance.
_9304891
650 2 4 _aOperations Research, Management Science.
_9353130
700 1 _aOgryczak, Włodzimierz.
_eauthor.
_9467157
700 1 _aSperanza, M. Grazia.
_eauthor.
_9467158
710 2 _aSpringerLink (Online service)
_9143950
773 0 _tSpringer eBooks
830 0 _aEURO Advanced Tutorials on Operational Research,
_9467159
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-319-18482-1
912 _aZDB-2-SBE
999 _c414975