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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Portfolio Management with Heuristic Optimization

Portfolio Management with Heuristic Optimization

Maringer, Dietmar G.

Paperback

Series: Advances in Computational Management Science, Book 8

Investing & FinanceGeneral ComputersGeneral Mathematics

ISBN10: 1441938427
ISBN13: 9781441938428
Publisher: Springer Nature
Published: Jan 5 2011
Pages: 223
Weight: 0.75
Height: 0.51 Width: 6.14 Depth: 9.21
Language: English
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.

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