Overview
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.
The book, Linear and Mixed Integer Programming for Portfolio Optimization (EURO Advanced Tutorials on Operational Research) [Bulk, Wholesale, Quantity] ISBN#9783319184814 in Hardcover by Renata Mansini, Włodzimierz Ogryczak, M. Grazia Speranza may be ordered in bulk quantities. Minimum starts at 25 copies. Availability based on publisher status and quantity being ordered.
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