Linear and Mixed Integer Programming for Portfolio Optimization

• Main Authors: Mansini, Renata (Author), Ogryczak, Włodzimierz (Author), Speranza, M. Grazia (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2015.
• Series: EURO Advanced Tutorials on Operational Research,
• Subjects: Business.; Operations research.; Decision making.; Finance.; Economics, Mathematical.; Management science.; Business and Management.; Operation Research/Decision Theory.; Finance, general.; Quantitative Finance.; Operations Research, Management Science.

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...

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.