Portfolio Management with Heuristic Optimization
ISBN:
9781441938428
Auflage:
Softcover reprint of hardcover 1st ed. 2005
Verlag:
Springer US
Land des Verlags:
Deutschland
Erscheinungsdatum:
05.01.2011
Reihe:
Advances in Computational Management Science
Format:
Softcover
Seitenanzahl:
223
Lieferung in 5-10 Werktagen
Versandkostenfrei ab 40 Euro in Österreich
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.
Schlagwörter
Biografische Anmerkung
PD Dr. Dietmar MaringerUniversity of Erfurt - Germany
Education:
1993: Business Administration and Computer Science at the Technical University of Vienna and at the University of Vienna1997: PhD., University of Vienna1997: 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
