Linear and Mixed Integer Programming for Portfolio Optimization
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 fe
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Renata Mansini Włodzimierz Ogryczak M. Grazia Speranza
Linear and Mixed Integer Programming for Portfolio Optimization
EURO Advanced Tutorials on Operational Research
Series Editors M. Grazia Speranza, Brescia, Italy José Fernando Oliveira, Porto, Portugal
More information about this series at http://www.springer.com/series/13840
Renata Mansini • Włodzimierz Ogryczak • M. Grazia Speranza
Linear and Mixed Integer Programming for Portfolio Optimization
123
Renata Mansini Department of Information Engineering University of Brescia Brescia, Italy
Włodzimierz Ogryczak Institute of Control and Computation Engineering Warsaw University of Technology Warsaw, Poland
M. Grazia Speranza Department of Economics and Management University of Brescia Brescia, Italy
EURO Advanced Tutorials on Operational Research ISBN 978-3-319-18481-4 ISBN 978-3-319-18482-1 DOI 10.1007/978-3-319-18482-1
(eBook)
Library of Congress Control Number: 2015942915 Springer Cham Heidelberg New York Dordrecht London © Springer International Publishing Switzerland 2015 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper Springer International Publishing AG Switzerland is part of Springer Science+Business Media (www.springer.com)
To Giovanni and Matteo To Barbara and Bartek To Massimo, Chiara, and Laura
Preface
Portfolio theory was first developed by Harry Markowitz in the 1950s. His work, which was extended by several researchers, provides the foundation of the so-called modern portfolio theory. Markowitz work has been published and discussed in several papers and books. He introduced the concept of diversification and captured in a model the importance of investing in a diversified portfolio. His pioneering model has the goal to find the optimal trade-off between the risk and the return of an investment. The risk of the portfolio is measured through the variance of the portfolio rate of return. The resulting optimization model, which is a single period model for portfoli
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