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Portfolio Management with Heuristic Optimization: 8 (Advances in Computational Management Science) - Softcover
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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.
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Über die Autorin bzw. den Autor
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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Portfolio Management with Heuristic Optimization
Verlag:
Springer US, Springer New York Jan 2011, 2011
ISBN 10: 1441938427
ISBN 13: 9781441938428
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Taschenbuch. Zustand: Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 240 pp. Englisch. Artikel-Nr. 9781441938428
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Portfolio Management with Heuristic Optimization
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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 effectsof (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. Artikel-Nr. 9781441938428
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Portfolio Management with Heuristic Optimization
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Paperback. Zustand: Brand New. 236 pages. 9.45x6.30x0.55 inches. In Stock. Artikel-Nr. x-1441938427
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Portfolio Management with Heuristic Optimization
Verlag:
Springer-Verlag New York Inc., 2011
ISBN 10: 1441938427
ISBN 13: 9781441938428
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Zustand: New. Series: Advances in Computational Management Science. Num Pages: 223 pages, biography. BIC Classification: KFFM; PBUH. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 12. Weight in Grams: 343. . 2010. 1st ed. Softcover of orig. ed. 2005. Paperback. . . . . Books ship from the US and Ireland. Artikel-Nr. V9781441938428
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Portfolio Management with Heuristic Optimization (Advances in Computational Management Science, 8)
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