Linear and Mixed Integer Programming for Portfolio Optimization
Renata Mansini , Włodzimierz Ogryczak , Grazia M Speranza
AbstractThis 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.
|Publisher name (outside publisher list)||Springer|
|Publication size in sheets||6|
|Project||Development of methodology of control, decision support and production management. Project leader: Zieliński Cezary,
, Phone: 5102, start date 19-05-2015, end date 31-12-2016, 504/02233/1031, Completed
WEiTI , Construction of robust investment portfolios by means of the generalized ordered weighted averages. Project leader: Ogryczak Włodzimierz, , Phone: 6190, start date 01-07-2013, end date 30-06-2016, 505D/1031/0047 , Completed
|Score||= 25.0, 15-09-2020, MonograhOrBookMainLanguagesAuthor|
|Publication indicators||= 16; = 52.0|
|Citation count*||52 (2020-09-12)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.