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Linear and Mixed Integer Programming for Portfolio Optimization, Hardback Book

Linear and Mixed Integer Programming for Portfolio Optimization Hardback

Part of the EURO Advanced Tutorials on Operational Research series

Description

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.

Information

  • Format: Hardback
  • Pages: 119 pages, 12 Illustrations, color; 13 Illustrations, black and white; XII, 119 p. 25 illus., 12 ill
  • Publisher: Springer International Publishing AG
  • Publication Date:
  • Category: Finance & accounting
  • ISBN: 9783319184814

Other Formats

Also in the EURO Advanced Tutorials on Operational Research series   |  View all