In single-period portfolio selection problems the expected value of both the risk measure and the portfolio return have to be estimated. Historical data realizations, used as equally probable scenarios, are frequently used to this aim. Several other parametric and non-parametric methods can be...

In this paper we consider two different mixed integer linear programming models for solving the single period portfolio selection problem when integer stock units, transaction costs and a cardinality constraint are taken into account. The first model has been formulated by using the maximization...

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...