Linear and mixed integer programming for portfolio optimization:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cham [u.a.]
Springer
2015
|
| Schriftenreihe: | EURO Advanced Tutorials on Operational Research
|
| Schlagworte: | |
| Online-Zugang: | Klappentext Inhaltsverzeichnis |
| Beschreibung: | XII, 119 S. graph. Darst. |
| ISBN: | 3319184814 9783319184814 |
Internformat
MARC
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Datensatz im Suchindex
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| adam_text | EURO Advanced Tutorials on Operational Research
Renata Mansini · Włodzimierz Ogryczak · M. Grazia Speranza
Linear and Mixed Integer Programming for Portfolio Optimization
This book presents solutions to the general problem of single period portfolio optimiza-
tion. 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 back-
ground 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.
Contents
1 Portfolio Optimization............................................ 1
1.1 Introduction .................................................. 1
1.2 Market and Diversification..................................... 1
1.3 The Optimization Framework..................................... 3
1.4 Portfolio Performance.......................................... 5
1.5 Basic Concepts and Notation.................................... 7
1.6 Markowitz Model................................................ 9
1.7 Risk and Safety Measures...................................... 12
1.8 Handling Bi-Criteria Optimization Problems.................... 14
1.9 Notes and References.......................................... 17
2 Linear Models for Portfolio Optimization.......................... 19
2.1 Introduction.................................................. 19
2.2 Scenarios and LP Computability................................ 19
2.3 Basic LP Computable Risk Measures............................. 21
2.4 Basic LP Computable Safety Measures........................... 27
2.5 The Complete Set of Basic Linear Models....................... 32
2.5.1 Risk Measures from Safety Measures.................... 33
2.5.2 Safety Measures from Risk Measures.................... 35
2.5.3 Ratio Measures from Risk Measures..................... 36
2.6 Advanced LP Computable Measures .............................. 38
2.7 Notes and References.......................................... 44
3 Portfolio Optimization with Transaction Costs..................... 47
3.1 Introduction.................................................. 47
3.2 The Structure of Transaction Costs ......................... 48
3.3 Accounting for Transaction Costs in Portfolio Optimization.... 53
3.4 Optimization with Transaction Costs........................... 59
3.5 A Complete Model with Transaction Costs....................... 60
3.6 Notes and References.......................................... 61
Contents
xii
4 Portfolio Optimization with Other Real Features....................... 63
4.1 Introduction.................................................... 63
4.2 Transaction Lots................................................ 64
4.3 Thresholds on Investment........................................ 67
4.4 Cardinality Constraints......................................... 70
4.5 Logical or Decision Dependency Constraints...................... 71
4.6 Notes and References............................................ 71
5 Rebalancing and Index Tracking........................................ 73
5.1 Introduction.................................................... 73
5.2 Portfolio Rebalancing........................................... 74
5.3 Index Tracking.................................................. 78
5.3.1 Market Index.............................................. 79
5.3.2 An Index Tracking Model................................... 80
5.4 Enhanced Index Tracking......................................... 83
5.5 Long/Short Portfolios........................................... 85
5.6 Notes and References............................................ 86
6 Theoretical Framework................................................. 87
6.1 Introduction.................................................. 87
6.2 Risk Averse Preferences and Stochastic Dominance................ 88
6.3 Stochastic Dominance Consistency................................ 91
6.4 Coherent Measures............................................... 93
6.5 Notes and References............................................ 95
7 Computational Issues.................................................. 97
7.1 Introduction.................................................... 97
7.2 Solving Linear and Mixed Integer Linear Programming Problems... 99
7.3 A General Heuristic: The Kernel Search......................... 101
7.4 Issues on Data................................................. 103
7.5 Large Scale LP Models.......................................... 108
7.6 Testing and Comparison of Models............................... Ill
7.7 Notes and References........................................... 113
References
115
|
| any_adam_object | 1 |
| author | Mansini, Renata 1968- Ogryczak, Włodzimierz Speranza, Maria Grazia 1957- |
| author_GND | (DE-588)171708458 (DE-588)1055807764 (DE-588)170422577 |
| author_facet | Mansini, Renata 1968- Ogryczak, Włodzimierz Speranza, Maria Grazia 1957- |
| author_role | aut aut aut |
| author_sort | Mansini, Renata 1968- |
| author_variant | r m rm w o wo m g s mg mgs |
| building | Verbundindex |
| bvnumber | BV042604254 |
| classification_rvk | QH 421 QK 810 SK 970 SK 980 |
| ctrlnum | (OCoLC)913610580 (DE-599)BVBBV042604254 |
| dewey-full | 658.40301 |
| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 658 - General management |
| dewey-raw | 658.40301 |
| dewey-search | 658.40301 |
| dewey-sort | 3658.40301 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| indexdate | 2024-07-10T07:05:43Z |
| institution | BVB |
| isbn | 3319184814 9783319184814 |
| language | English |
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| physical | XII, 119 S. graph. Darst. |
| publishDate | 2015 |
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| publisher | Springer |
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| series2 | EURO Advanced Tutorials on Operational Research |
| spelling | Mansini, Renata 1968- Verfasser (DE-588)171708458 aut Linear and mixed integer programming for portfolio optimization Renata Mansini ; Włodzimierz Ogryczak ; M. Grazia Speranza Cham [u.a.] Springer 2015 XII, 119 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier EURO Advanced Tutorials on Operational Research Lineare Optimierung (DE-588)4035816-1 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Wirtschaftswissenschaften (DE-588)4066528-8 gnd rswk-swf Gemischt-ganzzahlige Optimierung (DE-588)4156566-6 gnd rswk-swf Wirtschaftswissenschaften (DE-588)4066528-8 s Portfolio Selection (DE-588)4046834-3 s Lineare Optimierung (DE-588)4035816-1 s Gemischt-ganzzahlige Optimierung (DE-588)4156566-6 s 1\p DE-604 Ogryczak, Włodzimierz Verfasser (DE-588)1055807764 aut Speranza, Maria Grazia 1957- Verfasser (DE-588)170422577 aut Erscheint auch als Online-Ausgabe 978-3-319-18482-1 Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028037258&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028037258&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Mansini, Renata 1968- Ogryczak, Włodzimierz Speranza, Maria Grazia 1957- Linear and mixed integer programming for portfolio optimization Lineare Optimierung (DE-588)4035816-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Wirtschaftswissenschaften (DE-588)4066528-8 gnd Gemischt-ganzzahlige Optimierung (DE-588)4156566-6 gnd |
| subject_GND | (DE-588)4035816-1 (DE-588)4046834-3 (DE-588)4066528-8 (DE-588)4156566-6 |
| title | Linear and mixed integer programming for portfolio optimization |
| title_auth | Linear and mixed integer programming for portfolio optimization |
| title_exact_search | Linear and mixed integer programming for portfolio optimization |
| title_full | Linear and mixed integer programming for portfolio optimization Renata Mansini ; Włodzimierz Ogryczak ; M. Grazia Speranza |
| title_fullStr | Linear and mixed integer programming for portfolio optimization Renata Mansini ; Włodzimierz Ogryczak ; M. Grazia Speranza |
| title_full_unstemmed | Linear and mixed integer programming for portfolio optimization Renata Mansini ; Włodzimierz Ogryczak ; M. Grazia Speranza |
| title_short | Linear and mixed integer programming for portfolio optimization |
| title_sort | linear and mixed integer programming for portfolio optimization |
| topic | Lineare Optimierung (DE-588)4035816-1 gnd Portfolio Selection (DE-588)4046834-3 gnd Wirtschaftswissenschaften (DE-588)4066528-8 gnd Gemischt-ganzzahlige Optimierung (DE-588)4156566-6 gnd |
| topic_facet | Lineare Optimierung Portfolio Selection Wirtschaftswissenschaften Gemischt-ganzzahlige Optimierung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028037258&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028037258&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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