Linear and Mixed Integer Programming for Portfolio Optimization

Renata Mansini , Włodzimierz Ogryczak , Grazia M Speranza

Abstract

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.
Book typeMonograph
Author Renata Mansini - [Università degli Studi di Brescia]
Renata Mansini,,
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, Włodzimierz Ogryczak (FEIT / AK)
Włodzimierz Ogryczak,,
- The Institute of Control and Computation Engineering
, Grazia M Speranza
Grazia M Speranza,,
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Publisher name (outside publisher list) Springer
ISBN978-3-319-18481-4
Issue year2015
Pages119
Publication size in sheets6
DOIDOI:10.1007/978-3-319-18482-1
URL http://link.springer.com/book/10.1007/978-3-319-18482-1
ProjectDevelopment 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 Działalność statutowa , 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
WEiTI Projects financed by NSC [Projekty finansowane przez NCN]
Languageen angielski
File
Mansini i in Linear+and+Mixed+Integer+Programming+for.pdf 2.93 MB
Cover
Mansini Ogryczak Speranza book front m.pdf 66.73 KB
Score (nominal)25
ScoreMinisterial score = 25.0, 15-09-2020, MonograhOrBookMainLanguagesAuthor
Publication indicators Scopus Citations = 16; GS Citations = 52.0
Citation count*52 (2020-09-12)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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