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Portfolio Management with Heuristic Optimization

Name: Portfolio Management with Heuristic Optimization
Brand: Springer-Verlag New York Inc.
SKU: 01422397
Price: 97.4 EUR
Availability: InStock
Author: Dietmar G. Maringer
ISBN: 9781441938428

Dietmar G. Maringer

Língua

Inglês

Livro Capa mole

Código Libristo: 01422397

Editoras Springer-Verlag New York Inc., outubro 2010

Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations)... Descrição completa

Código Libristo: 01422397

236 b

97.40 €

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Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals with the foundations of portfolio optimization, its assumptions, approaches and the limitations when "traditional" optimization techniques are to be applied. In addition, the basic concepts of several heuristic optimization techniques are presented along with examples of how to implement them for financial optimization problems. The second part (Applications and Contributions) consists of five chapters, covering different problems in financial optimization: the effects of (linear, proportional and combined) transaction costs together with integer constraints and limitations on the initital endowment to be invested; the diversification in small portfolios; the effect of cardinality constraints on the Markowitz efficient line; the effects (and hidden risks) of Value-at-Risk when used the relevant risk constraint; the problem factor selection for the Arbitrage Pricing Theory.