MAO group - Models and Algorithms for Optimization

Dept. of Information Engineering                                                                      University of Brescia





Contacts

Dip. di Ingegneria dell'Informazione
Universita' degli Studi di Brescia
via Branze, 38
25123, Brescia
Italy

Telephone:
+39 030 371 5448
+39 030 371 5935
+39 030 371 5757


Since 2007, MAO is the Operational Reserch group working at the Department of Information Engineering of the University of Brescia, Italy. It is part of the inter-departmental group OR@BRESCIA (University of Brescia, Italy).
Filter by type:       Filter by topic:      


2020

  • Guastaroba G., Mansini R., Ogryczak W., Speranza M.G. (2020). Enhanced index tracking with CVaR-based ratio measures. Annals of Operations Research 292 (2), pp. 883–931.  >> View at publisher

  • 2016

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

  • 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 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 51, p. 345-361.

  • 2009

  • Mansini, R., Pferschy U. (2009). A Two-Period Portfolio Selection Model for Asset-backed Securitization. Algorithmic Operations Research 4(2), p. 155-170.
  • Guastaroba G., Mansini R., Speranza M.G. (2009). Models and simulations for portfolio rebalancing. Computational Economics 33, p. 237-262.
  • 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 192, p. 500-511.

  • 2008

  • Angelelli E., Mansini R., Speranza M.G. (2008). A comparison of MAD and CVaR with side constraints. Journal of Banking and Finance 32, pp. 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 152, pp. 227-256.

  • 2005

  • Mansini R., Speranza M.G. (2005). An exact approach for portfolio selection with transaction costs and rounds. IIE TRANSACTIONS 37, pp. 919-929.

  • 2004

  • Mansini R., Pferschy U. (2004). Securitization of Financial Assets: Approximation in Theory and Practice. Computational Optimization and Applications 29, pp. 147-171.

  • 2003

  • Mansini R., Ogryczak W., Speranza M.G. (2003). On LP solvable models for portfolio selection. Informatica 14(1), pp. 37-62.
  • Mansini R., Ogryczak W., Speranza M.G. (2003). LP solvable models for portfolio optimization: a classification and computational comparison. IMA Journal of Management Mathematics 14, pp. 187-220.
  • Chiodi L., Mansini R., Speranza M.G. (2003). Semi-absolute deviation rule for mutual funds portfolio selection. Annals of Operations Research 124, pp. 245-265.

  • 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 53, pp. 822-832.

  • 2000

  • Kellerer, H., Mansini, R., Speranza M.G. (2000). Selecting portfolios with fixed costs and minimum transaction lots. Annals of Operations Research 99, pp. 287-304.

  • 1999

  • Mansini, R., Speranza M.G. (1999). Selection of Lease Contracts in an Asset-Backed Securitization: a Real Case Analysis. Control and Cybernetics 28(4), pp. 739-754.
  • Mansini R., Speranza M.G. (1999). Heuristic Algorithms for the Portfolio Selection Problem with Minimum Transaction Lots. European Journal of Operational Research 114(2), pp. 219-233.

  • 1997

  • Mansini, R., Speranza M.G. (1997). Effective linear programming based heuristics for a portfolio selection problem. Ricerca Operativa, pp. 5-23.