Overview

"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."

Full Product Details

Author:   Dietmar G. Maringer
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of hardcover 1st ed. 2005
Volume:   8
Dimensions:   Width: 16.00cm , Height: 1.20cm , Length: 24.00cm
Weight:   0.454kg
ISBN:  

9781441938428

ISBN 10:   1441938427
Pages:   223
Publication Date:   05 January 2011
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of stock  
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PD Dr. Dietmar Maringer University of Erfurt - Germany Education: 1993: Business Administration and Computer Science at the Technical University of Vienna and at the University of Vienna 1997: PhD., University of Vienna 1997: M.Phil. at the University of Cambridge, UK Positions: till 2002: Assistant at the Centre for Business Studies, University of Vienna since Nov. 2002: Assistant Professor at the University of Erfurt Research interests: Finance, Financial Econometrics, Computational Economics and Computational Finance Heuristic Optimisation

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