Titlebook: Linear and Mixed Integer Programming for Portfolio Optimization; Renata Mansini,Włodzimierz Ogryczak,M. Grazia Sper Textbook 2015 Springer

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Portfolio Optimization with Transaction Costs,al available for the actual investment. When a complete portfolio optimization model is defined, some of the constraints on the definition of the transaction costs may be relaxed without affecting the correctness of the model as the optimization ’pushes’ the transaction costs to the minimum value al

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Computational Issues,ation effort. An important part of the chapter covers the computational issue related to the data needed by a model. The models presented must be fed with data, the most crucial being the rates of return of the assets under the different scenarios. Although several techniques can generate such data,

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2364-687X r models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples..978-3-319-38621-8978-3-319-18482-1Series ISSN 2364-687X Series E-ISSN 2364-6888

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Renata Mansini,Włodzimierz Ogryczak,M. Grazia SperFocuses 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