rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Linear and Mixed Integer Programming for Portfolio Optimization
  name:
    name part: Mansini, Renata.
    role:
      role term: creator
    role:
      role term: author.
  name:
    name part: Ogryczak, Włodzimierz.
    role:
      role term: author.
  name:
    name part: Speranza, M. Grazia.
    role:
      role term: author.
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2015
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: XII, 119 p. 25 illus., 12 illus. in color. online resource.
  abstract: 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.
  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.
  note: by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza.
  subject:
    topic: Business
  subject:
    topic: Operations research
  subject:
    topic: Decision making
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Management science
  subject:
    topic: Business and Management
  subject:
    topic: Operation Research/Decision Theory
  subject:
    topic: Finance, general
  subject:
    topic: Quantitative Finance
  subject:
    topic: Operations Research, Management Science
  classification: HD30.23
  classification: 658.40301
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: EURO Advanced Tutorials on Operational Research
  identifier: 9783319184821
  identifier: http://dx.doi.org/10.1007/978-3-319-18482-1
  record info:
    record creation date: 150610
    record change date: 20151204181726.0
    record identifier: 978-3-319-18482-1