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...

The connexion between statistical mechanics basis of Gibbs and Shannon's information theory allows the application of Gibbs's formulas to the resolution of Simplex's problem by Shannon's Maximum Entropy Principle. The method, based in the minimal information that the objective of Simplex, in his...