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

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https://doi.org/10.1007/978-3-319-18482-1Binary variables; Financial modeling; Integer variables; Markowitz; Risk management; Transaction cost; sto

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Rebalancing and Index Tracking,art of the chapter is devoted to the portfolio rebalancing problem, where the investor already owns a portfolio of assets and, due to changed market conditions and possibly to the availability of additional capital, is interested in modifying it by selling/purchasing shares or amounts of some assets

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Theoretical Framework,to understand which properties a measure should satisfy to be attractive to an investor. The theory developed is based fundamentally on one hand on the concept of stochastic dominance consistency and on the other hand on the concept of coherent measure. In this chapter, we introduce these two concep

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