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

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

Material type
E-Book(소장)
Personal Author
Mansini, Renata. Ogryczak, Włodzimierz. Speranza, M. Grazia.
Title Statement
Linear and mixed integer programming for portfolio optimization [electronic resource] / Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
Publication, Distribution, etc
Cham :   Springer International Publishing :   Imprint: Springer,   2015.  
Physical Medium
1 online resource (xii, 119 p.) : ill. (some col.).
Series Statement
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.
General Note
Title from e-Book title page.  
Content Notes
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.
Bibliography, Etc. Note
Includes bibliographical references.
이용가능한 다른형태자료
Issued also as a book.  
Subject Added Entry-Topical Term
Business. Portfolio management --Mathematical models. Linear programming. Integer programming.
Short cut
URL
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001 000046037803
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006 m d
007 cr
008 200723s2015 sz a ob 000 0 eng d
020 ▼a 9783319184821
040 ▼a 211009 ▼c 211009 ▼d 211009
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)

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/e-Book Collection/ Call Number CR 332.6015118 Accession No. E14027811 Availability Loan can not(reference room) Due Date Make a Reservation Service M

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