Tutorials and Surveys


Tutorials

  1. Beasley, J.E.. Portfolio optimisation: Models and solution approaches. In Topaloglu H., editor, Tutorials in Operations Research, Chapter 11, pages 201-221. INFORMS, 2013.

Surveys

  1. Mansini, R., Ogryczak, W., and Speranza, M.G.. Twenty years of linear programming based portfolio optimization. European Journal of Operational Research (2014) 234: 518-535.
  2. Mansini, R., Ogryczak, W., and Speranza, M.G.. LP solvable models for portfolio optimization: A classification and computational comparison. IMA Journal of Management Mathematics (2003) 14: 187-220.