| 書目名稱 | Linear and Mixed Integer Programming for Portfolio Optimization |
| 編輯 | Renata Mansini,W?odzimierz Ogryczak,M. Grazia Sper |
| 視頻video | http://file.papertrans.cn/587/586457/586457.mp4 |
| 概述 | Focuses on finance, a field of application of growing interest for the operational research community.Presents one of the first graduate texts where OR methods are applied to portfolio analysis.Provid |
| 叢書名稱 | EURO Advanced Tutorials on Operational Research |
| 圖書封面 |  |
| 描述 | .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.. |
| 出版日期 | Textbook 2015 |
| 關(guān)鍵詞 | Binary variables; Financial modeling; Integer variables; Markowitz; Risk management; Transaction cost; sto |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-18482-1 |
| isbn_softcover | 978-3-319-38621-8 |
| isbn_ebook | 978-3-319-18482-1Series ISSN 2364-687X Series E-ISSN 2364-6888 |
| issn_series | 2364-687X |
| copyright | Springer International Publishing Switzerland 2015 |
|Archiver|手機(jī)版|小黑屋|
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