Linear and Mixed Integer Programming for Portfolio Optimization
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 f...
| Published in: | Springer eBooks |
|---|---|
| Main Authors: | , , |
| Corporate Author: | |
| Format: | eBook |
| Language: | English |
| Published: |
Cham :
Springer International Publishing : Imprint: Springer,
2015.
|
| Series: | EURO Advanced Tutorials on Operational Research,
|
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1007/978-3-319-18482-1 Перейти в каталог НБ ТГУ |
| LEADER | 03358nam a22005775i 4500 | ||
|---|---|---|---|
| 001 | vtls000559837 | ||
| 003 | RU-ToGU | ||
| 005 | 20210922090145.0 | ||
| 007 | cr nn 008mamaa | ||
| 008 | 170212s2015 gw | s |||| 0|eng d | ||
| 020 | |a 9783319184821 |9 978-3-319-18482-1 | ||
| 024 | 7 | |a 10.1007/978-3-319-18482-1 |2 doi | |
| 035 | |a to000559837 | ||
| 039 | 9 | |y 201702122257 |z Александр Эльверович Гилязов | |
| 040 | |a Springer |c Springer |d RU-ToGU | ||
| 050 | 4 | |a HD30.23 | |
| 072 | 7 | |a KJT |2 bicssc | |
| 072 | 7 | |a KJMD |2 bicssc | |
| 072 | 7 | |a BUS049000 |2 bisacsh | |
| 082 | 0 | 4 | |a 658.40301 |2 23 |
| 100 | 1 | |a Mansini, Renata. |e author. |9 467156 | |
| 245 | 1 | 0 | |a Linear and Mixed Integer Programming for Portfolio Optimization |h electronic resource |c by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza. |
| 260 | |a Cham : |b Springer International Publishing : |b Imprint: Springer, |c 2015. |9 742221 | ||
| 300 | |a XII, 119 p. 25 illus., 12 illus. in color. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 1 | |a EURO Advanced Tutorials on Operational Research, |x 2364-687X | |
| 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. | ||
| 650 | 0 | |a business. |9 366240 | |
| 650 | 0 | |a Operations research. |9 303058 | |
| 650 | 0 | |a Decision making. |9 294514 | |
| 650 | 0 | |a Finance. |9 142509 | |
| 650 | 0 | |a Economics, Mathematical. |9 304111 | |
| 650 | 0 | |a Management science. |9 459954 | |
| 650 | 1 | 4 | |a Business and Management. |9 459956 |
| 650 | 2 | 4 | |a Operation Research/Decision Theory. |9 411428 |
| 650 | 2 | 4 | |a Finance, general. |9 460231 |
| 650 | 2 | 4 | |a Quantitative Finance. |9 304891 |
| 650 | 2 | 4 | |a Operations Research, Management Science. |9 353130 |
| 700 | 1 | |a Ogryczak, Włodzimierz. |e author. |9 467157 | |
| 700 | 1 | |a Speranza, M. Grazia. |e author. |9 467158 | |
| 710 | 2 | |a SpringerLink (Online service) |9 143950 | |
| 773 | 0 | |t Springer eBooks | |
| 830 | 0 | |a EURO Advanced Tutorials on Operational Research, |9 467159 | |
| 856 | 4 | 0 | |u http://dx.doi.org/10.1007/978-3-319-18482-1 |
| 856 | |y Перейти в каталог НБ ТГУ |u https://koha.lib.tsu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=414975 | ||
| 912 | |a ZDB-2-SBE | ||
| 950 | |a Business and Economics (Springer-11643) | ||
| 999 | |c 414975 |d 414975 | ||