Linear and mixed integer programming for portfolio optimization:
Gespeichert in:
Hauptverfasser: | , , |
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Format: | Elektronisch E-Book |
Sprache: | English |
Veröffentlicht: |
Cham [u.a.]
Springer
2015
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Schriftenreihe: | EURO Advanced Tutorials on Operational Research
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Schlagworte: | |
Online-Zugang: | BTU01 FAB01 FAW01 FHA01 FHI01 FHM01 FHN01 FHO01 FHR01 FKE01 FLA01 FNU01 FRO01 FWS01 FWS02 HWR01 UBG01 UBT01 UBY01 UEI01 UPA01 Volltext Inhaltsverzeichnis Abstract |
Beschreibung: | 1 Online-Ressource (XII, 119 p.) graph. Darst. |
ISBN: | 9783319184821 |
ISSN: | 2364-687X |
DOI: | 10.1007/978-3-319-18482-1 |
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Datensatz im Suchindex
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adam_text | LINEAR AND MIXED INTEGER PROGRAMMING FOR PORTFOLIO OPTIMIZATION
/ MANSINI, RENATA
: 2015
TABLE OF CONTENTS / INHALTSVERZEICHNIS
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
LINEAR AND MIXED INTEGER PROGRAMMING FOR PORTFOLIO OPTIMIZATION
/ MANSINI, RENATA
: 2015
ABSTRACT / INHALTSTEXT
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
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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 | BV042669450 |
classification_rvk | QH 421 QK 810 SK 970 SK 980 |
collection | ZDB-2-SBE |
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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 |
doi_str_mv | 10.1007/978-3-319-18482-1 |
format | Electronic eBook |
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id | DE-604.BV042669450 |
illustrated | Not Illustrated |
indexdate | 2025-02-20T06:51:50Z |
institution | BVB |
isbn | 9783319184821 |
issn | 2364-687X |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028101534 |
oclc_num | 913610580 |
open_access_boolean | |
owner | DE-1046 DE-1043 DE-Aug4 DE-1049 DE-859 DE-473 DE-BY-UBG DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-824 DE-860 DE-898 DE-BY-UBR DE-861 DE-1051 DE-706 |
owner_facet | DE-1046 DE-1043 DE-Aug4 DE-1049 DE-859 DE-473 DE-BY-UBG DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-2070s DE-573 DE-M347 DE-703 DE-739 DE-634 DE-824 DE-860 DE-898 DE-BY-UBR DE-861 DE-1051 DE-706 |
physical | 1 Online-Ressource (XII, 119 p.) graph. Darst. |
psigel | ZDB-2-SBE ZDB-2-SBE_2015 |
publishDate | 2015 |
publishDateSearch | 2015 |
publishDateSort | 2015 |
publisher | Springer |
record_format | marc |
series2 | EURO Advanced Tutorials on Operational Research |
spellingShingle | Mansini, Renata 1968- Ogryczak, Włodzimierz Speranza, Maria Grazia 1957- Linear and mixed integer programming for portfolio optimization Economics Finance Operations research Economics/Management Science Operation Research/Decision Theory Finance/Investment/Banking Quantitative Finance Operations Research, Management Science Management Wirtschaft Lineare Optimierung (DE-588)4035816-1 gnd Wirtschaftswissenschaften (DE-588)4066528-8 gnd Gemischt-ganzzahlige Optimierung (DE-588)4156566-6 gnd Portfolio Selection (DE-588)4046834-3 gnd |
subject_GND | (DE-588)4035816-1 (DE-588)4066528-8 (DE-588)4156566-6 (DE-588)4046834-3 |
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 | Economics Finance Operations research Economics/Management Science Operation Research/Decision Theory Finance/Investment/Banking Quantitative Finance Operations Research, Management Science Management Wirtschaft Lineare Optimierung (DE-588)4035816-1 gnd Wirtschaftswissenschaften (DE-588)4066528-8 gnd Gemischt-ganzzahlige Optimierung (DE-588)4156566-6 gnd Portfolio Selection (DE-588)4046834-3 gnd |
topic_facet | Economics Finance Operations research Economics/Management Science Operation Research/Decision Theory Finance/Investment/Banking Quantitative Finance Operations Research, Management Science Management Wirtschaft Lineare Optimierung Wirtschaftswissenschaften Gemischt-ganzzahlige Optimierung Portfolio Selection |
url | https://doi.org/10.1007/978-3-319-18482-1 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028101534&sequence=000001&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=028101534&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT mansinirenata linearandmixedintegerprogrammingforportfoliooptimization AT ogryczakwłodzimierz linearandmixedintegerprogrammingforportfoliooptimization AT speranzamariagrazia linearandmixedintegerprogrammingforportfoliooptimization |