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OR@DII - Operational Research at Department of Information Engineering

Simple Ideas Are Often The Best                                                                                                                                        University of Brescia




Contacts

Operational Research Group
Dip. di Ingegneria dell'Informazione
via Branze, 38
(25123) Brescia
Italy

Telephone:
+39 030 371 5448
+39 030 371 5935


Since 2007, OR@DII is the Operational Reserch group working at the Department of Information Engineering (DII) of the University of Brescia. Its research activity is focused on the development of optimization models and algorithms. OR@DII is part of OR@BRESCIA, the interdepartmental Operational Research group of the University of Brescia.
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2016

Guastaroba G., Mansini R., Ogryczak W., Speranza M.G. Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem. European Journal of Operational Research 251 (3), pp. 938-956. 2016   >> Download


2015

Mansini R., Ogryczak W., Speranza M.G. (2015). Linear and Mixed Integer Programming for Portfolio Optimization. EURO Advanced Tutorials on Operational Research, Vol. 1, Springer, ISBN 978-3-319-18482-1.


2014

Mansini R., Ogryczak W., Speranza M.G. (2014). Twenty Years of Linear Programming Based Portfolio Optimization. European Journal of Operational Research (ISSN:0377-2217), Vol. 234, p. 518--535.


2012

Angelelli E., Mansini R., Speranza M.G. (2012). Kernel Search: A new heuristic framework for portfolio selection. Computational Optimization and Applications (ISSN:0926-6003) Vol. 51, p. 345--361.


2009

Mansini, R., Pferschy U. (2009). A Two-Period Portfolio Selection Model for Asset-backed Securitization. Algorithmic Operations Research (ISSN:1718-3235) Vol. 4(2), p. 155--170.


Guastaroba G., Mansini R., Speranza M.G. (2009). On the effectiveness of scenario generation techniques in single-period portfolio optimization. European Journal of Operational Research (ISSN:0377-2217) Vol. 192, p. 500--511.


Guastaroba G., Mansini R., Speranza M.G. (2009). Models and simulations for portfolio rebalancing. Computational Economics (ISSN:0927-7099) Vol. 33, p. 237-262.


2008

Angelelli E., Mansini R., Speranza M.G. (2008). A comparison of MAD and CVaR with side constraints. Journal of Banking \& Finance (ISSN:0378-4266) Vol. 32, 1188-1197.


2007

Mansini R., Ogryczak W., Speranza M.G. (2007). Conditional value at risk and related linear programming models for portfolio optimization. Annals of Operations Research (ISSN:0254-5330), Vol. 152, p. 227--256.


2005

Mansini R., Speranza M.G. (2005). An exact approach for portfolio selection with transaction costs and rounds. IIE TRANSACTIONS (ISSN:0740-817X) Vol. 37, p. 919--929.


2004

Mansini R., Pferschy U. (2004). Securitization of Financial Assets: Approximation in Theory and Practice. Computational Optimization and Applications (ISSN:0926-6003) Vol. 29, p. 147--171.


2003

Chiodi L., Mansini R., Speranza M.G. (2003). Semi-absolute deviation rule for mutual funds portfolio selection. Annals of Operations Research (ISSN:0254-5330) Vol. 124, p. 245-265.


Mansini R., Ogryczak W., Speranza M.G. (2003). LP solvable models for portfolio optimization: a classification and computational comparison. IMA Journal of Management Mathematics (ISSN:1471-678X) Vol. 14, p. 187--220.


Mansini R., Ogryczak W., Speranza M.G. (2003). On LP solvable models for portfolio selection. Informatica (ISSN:0350-5596) Vol. 14(1), p. 37-62.


2002

Mansini, R., Speranza M.G., (2002). Multidimensional Knapsack Model for the Selection of Contracts in an Asset-Backed Securitization. Journal of the Operational Research Society (ISSN:0160-5682) Vol. 53, p. 822-832.


2000

Kellerer, H., Mansini, R., Speranza M.G., (2000). Selecting portfolios with fixed costs and minimum transaction lots. Annals of Operations Research (ISSN:0254-5330) Vol. 99, p. 287-304.


1999

Mansini R., Speranza M.G. (1999). Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots. European Journal of Operational Research (ISSN:0377-2217) Vol. 114(2), p. 219--233.


Mansini, R., Speranza M.G., (1999). Selection of Lease Contracts in an Asset-Backed Securitization: a Real Case Analysis. Control and Cybernetics (ISSN:0324-8569) Vol. 28(4), p. 739-754.


1997

Mansini, R., Speranza M.G., (1997). Effective linear programming based heuristics for a portfolio selection problem. Ricerca Operativa (ISSN:0390-8127) p. 5-23.