Dietmar G. Maringer

Portfolio Management with Heuristic Optimization

• Broschiertes Buch

Produktbeschreibung

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.

Produktdetails

• Advances in Computational Management Science 8
• Verlag: Springer / Springer US / Springer, Berlin
• Artikelnr. des Verlages: 978-1-4419-3842-8
• Softcover reprint of hardcover 1st ed. 2005
• Seitenzahl: 240
• Erscheinungstermin: 5. Januar 2011
• Englisch
• Abmessung: 244mm x 170mm x 14mm
• Gewicht: 422g
• ISBN-13: 9781441938428
• ISBN-10: 1441938427
• Artikelnr.: 32110180

Autorenporträt

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

Inhaltsangabe

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.