||From the Back Cover||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 introduc
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...
[PDF.gm34] Linear and Mixed Integer Programming for Portfolio Optimization (EURO Advanced Tutorials on Operational Research) Rating: 3.61 (790 Votes)
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