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Linear and mixed integer programming for portfolio optimization [electronic resource]

Linear and mixed integer programming for portfolio optimization [electronic resource]

자료유형
E-Book(소장)
개인저자
Mansini, Renata. Ogryczak, Włodzimierz. Speranza, M. Grazia.
서명 / 저자사항
Linear and mixed integer programming for portfolio optimization [electronic resource] / Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
발행사항
Cham :   Springer International Publishing :   Imprint: Springer,   2015.  
형태사항
1 online resource (xii, 119 p.) : ill. (some col.).
총서사항
EURO advanced tutorials on operational research,2364-687X
ISBN
9783319184821
요약
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.
일반주기
Title from e-Book title page.  
내용주기
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.
서지주기
Includes bibliographical references.
이용가능한 다른형태자료
Issued also as a book.  
일반주제명
Business. Portfolio management --Mathematical models. Linear programming. Integer programming.
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020 ▼a 9783319184821
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050 4 ▼a HD30.23
082 0 4 ▼a 332.601/5118 ▼2 23
084 ▼a 332.6015118 ▼2 DDCK
090 ▼a 332.6015118
100 1 ▼a Mansini, Renata.
245 1 0 ▼a Linear and mixed integer programming for portfolio optimization ▼h [electronic resource] / ▼c Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
260 ▼a Cham : ▼b Springer International Publishing : ▼b Imprint: Springer, ▼c 2015.
300 ▼a 1 online resource (xii, 119 p.) : ▼b ill. (some col.).
490 1 ▼a EURO advanced tutorials on operational research, ▼x 2364-687X
500 ▼a Title from e-Book title page.
504 ▼a Includes bibliographical references.
505 0 ▼a 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.
520 ▼a 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.
530 ▼a Issued also as a book.
538 ▼a Mode of access: World Wide Web.
650 0 ▼a Business.
650 0 ▼a Portfolio management ▼x Mathematical models.
650 0 ▼a Linear programming.
650 0 ▼a Integer programming.
700 1 ▼a Ogryczak, Włodzimierz.
700 1 ▼a Speranza, M. Grazia.
830 0 ▼a EURO advanced tutorials on operational research.
856 4 0 ▼u https://oca.korea.ac.kr/link.n2s?url=http://dx.doi.org/10.1007/978-3-319-18482-1
945 ▼a KLPA
991 ▼a E-Book(소장)

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/e-Book 컬렉션/ 청구기호 CR 332.6015118 등록번호 E14027811 도서상태 대출불가(열람가능) 반납예정일 예약 서비스 M

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