E Book

Portfolio Management with Heuristic Optimization

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Portfolio Management -- Heuristic Optimization -- Transaction Costs and Integer Constraints -- Diversification in Small Portfolios -- Cardinality Constraints for Markowitz Efficient Lines -- The Hidden Risk of Value at Risk -- Finding Relevant Risk Factors in Asset Pricing -- Concluding Remarks.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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Ketersediaan

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Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

: .,

Deskripsi Fisik

XIV, 223 p.online resource.

Bahasa

English

ISBN/ISSN

9780387258539

Klasifikasi

332

Tipe Isi

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Tipe Media

-

Tipe Pembawa

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Edisi

1st ed. 2005.

Subjek

Artificial intelligence.
Mathematical optimization.
Optimization.
Finance.
Finance, general.
Economics, Mathematical .
Quantitative Finance.

Info Detail Spesifik

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Pernyataan Tanggungjawab

by Dietmar G. Maringer.

Versi lain/terkait

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