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Linear and Mixed Integer Programming for Portfolio Optimization

  • Renata Mansini
  • Włodzimierz Ogryczak
  • M. Grazia Speranza

Part of the EURO Advanced Tutorials on Operational Research book series (EUROATOR)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 1-18
  3. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 19-45
  4. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 47-62
  5. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 63-72
  6. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 73-86
  7. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 87-96
  8. Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza
    Pages 97-114
  9. Back Matter
    Pages 115-119

About this book

Introduction

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.

Keywords

Binary variables Financial modeling Integer variables Markowitz Risk management Transaction cost stochastic programming

Authors and affiliations

  • Renata Mansini
    • 1
  • Włodzimierz Ogryczak
    • 2
  • M. Grazia Speranza
    • 3
  1. 1.Department of Information EngineeringUniversity of BresciaBresciaItaly
  2. 2.Institute of Control and Computation EngineeringWarsaw University of TechnologyWarsawPoland
  3. 3.Department of Economics and ManagementUniversity of BresciaBresciaItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-319-18482-1
  • Copyright Information Springer International Publishing Switzerland 2015
  • Publisher Name Springer, Cham
  • eBook Packages Business and Economics
  • Print ISBN 978-3-319-18481-4
  • Online ISBN 978-3-319-18482-1
  • Series Print ISSN 2364-687X
  • Series Online ISSN 2364-6888
  • Buy this book on publisher's site
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