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Portfolio Management with Heuristic Optimization [recurso electrónico] / by Dietmar Maringer.

Por: Colaborador(es): Tipo de material: TextoTextoSeries Advances in Computational Management Science ; 8Editor: Boston, MA : Springer US, 2005Descripción: XIV, 222 p. online resourceTipo de contenido:
  • text
Tipo de medio:
  • computer
Tipo de soporte:
  • recurso en línea
ISBN:
  • 9780387258539
  • 99780387258539
Tema(s): Formatos físicos adicionales: Printed edition:: Sin títuloClasificación CDD:
  • 657.8333 23
  • 658.152 23
Recursos en línea:
Contenidos:
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.
En: Springer eBooksResumen: 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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Holdings
Item type Current library Collection Call number Status Date due Barcode
Libros electrónicos Libros electrónicos CICY Libro electrónico Libro electrónico 657.8333 | 658.152 (Browse shelf(Opens below)) Available

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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