Linear and mixed integer programming for portfolio optimization / Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
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...
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| Online Access: |
Full Text (via Springer) |
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| Main Authors: | , , |
| Format: | eBook |
| Language: | English |
| Published: |
Cham :
Springer,
2015.
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| Series: | EURO advanced tutorials on operational research
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| Subjects: |
Table of Contents:
- 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.