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Practical C++ Financial Programming by Carlos Oliveira

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CHAPTER 13

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Asset and Portfolio Optimization

Portfolio managers have to face several investment issues such as rebalancing a portfolio for optimal performance or adjusting a new set of investments depending on their client’s predefined long-term goals. Optimization-based techniques have been developed over the years to deal with these as well as some other common portfolio construction problems.

In this chapter you will explore programming algorithms for asset and portfolio optimization using C++ as a modeling language. You will be able to create such financial models based on well-known mathematical programming formulations. You will also see ...

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