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1、SpringerBriefsinElectricalandComputerEngineeriEEEngForfurthervolumes:http://www.springer.com/series/10059NicolasChapadosPortfolioChoiceProblemsAnIntroductorySurveyofSingleandMultiperiodModelsNicolasChapadosDepartmentofComputerScienceandOperationsResearchUniversityofMon
2、trealPOBox6128Succ.Centre-VilleMontréal(Québec)H3C3J7Canadachapados@iro.umontreal.caISSN2191-8112e-ISSN2191-8120ISBN978-1-4614-0576-4e-ISBN978-1-4614-0577-1DOI10.1007/978-1-4614-0577-1SpringerNewYorkDordrechtHeidelbergLondonLibraryofCongressControlNumber:2011932222©The
3、Author2011Allrightsreserved.Thisworkmaynotbetranslatedorcopiedinwholeorinpartwithoutthewrittenpermissionofthepublisher(SpringerScience+BusinessMedia,LLC,233SpringStreet,NewYork,NY10013,USA),exceptforbriefexcerptsinconnectionwithreviewsorscholarlyanalysis.Useinconnectio
4、nwithanyformofinformationstorageandretrieval,electronicadaptation,computersoftware,orbysimilarordissimilarmethodologynowknownorhereafterdevelopedisforbidden.Theuseinthispublicationoftradenames,trademarks,servicemarks,andsimilarterms,eveniftheyarenotidentifiedassuch,isn
5、ottobetakenasanexpressionofopinionastowhetherornottheyaresubjecttoproprietaryrights.Printedonacid-freepaperSpringerispartofSpringerScience+BusinessMedia(www.springer.com)PrefaceThisbookgrewoutofanintroductiontoportfoliochoiceproblemspresentedinChapados(2010).Thisproble
6、mhasalonghistory:Markowitz’s1952treatmentofthesubjectnowknownasModernPortfolioTheoryisclosetoreachingthevener-ableageofsixty.Intheinterveningyears,notionssuchasmean-varianceefficiencyhavehadenormousimpactinthetheoryandpracticeoffinance,notonlyonthemundanetaskofassetalloc
7、ationbutasmodelsofthegeneraltrade-offbetweenriskandreturninfinancialmarkets,aswellasportfolioperformancemeasurementandattribution.Fornewcomerstothefield,ithasbeenincreasinglydifficulttoobtainabroadyetconcisecoverageofthesubject.Ontheonehand,thepractitioner-orientedliter-a
8、turefocuses,byandlarge,onsingle-periodmodelsandthetechniques1neededdofixthedeficienciesinMarkowitz’ssimplequadraticprog
