*Some specific problems we studied*

## Scenario Generation TechniquesThe main challenging issue in portfolio selection problems is to provide evidence on how effective the mathematical models are as decision tools in determining reliable solutions to face uncertain future events. Nevertheless, the effectiveness of the models strongly depends on the data input required by the models and on the methods used to generate it. Many mathematical models for portfolio optimization require the availability of a set of scenarios to compute an estimate of both the expected portfolio risk and the expected portfolio return. Different methods can be used to generate scenarios. They range from the simple historical approach, based on the assumption that past realizations are representative of future outcomes, to more complex parametric and non-parametric methods. Each method used to generate scenarios is called a References:
- Guastaroba, G., Mansini, R., and Speranza, M.G..
**On the effectiveness of scenario generation techniques in single-period portfolio optimization.***European Journal of Operational Research*(2009) 192: 500-511.
## Index Tracking Problem and Enhanced Indexation The
- Guastaroba, G., and Speranza, M.G..
**Kernel search: An application to the index tracking problem.***European Journal of Operational Research*(2012) 217: 54-68.
## Asset-Backed Securitization
- Mansini, R., and Pferschy, U..
**A two-period portfolio selection model for asset-backed securitization.***Algorithmic Operations Research*(2009) 4: 155-170. - Mansini, R., and Pferschy, U..
**Securitization of financial assets: Approximation in theory and practice.***Computational Optimization and Applications*(2004) 29: 147-171. - Mansini, R., and Speranza, M.G..
**A multidimensional knapsack model for asset-backed securitization.***Journal of the Operational Research Society*(2002) 53: 822-832. - Mansini, R., and Speranza, M.G..
**Selection of lease contracts in an asset-backed securitization: A real case analysis.***Control and Cybernetics*(1999) 28: 739-754. - Mansini, R., and Speranza, M.G..
**On selecting a portfolio of lease contracts in an asset-backed securitization process.**In Zopounidis, C., editor,*New Operational Approaches for Financial Modelling, Series: Contributions to Management Science*, pages 157-170. Physica-Verlag Heidelberg, 1997.
| ## Portfolio Optimization |