Portfolio Management with Heuristic Optimization

• Main Author: Maringer, Dietmar (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Boston, MA : Springer US, 2005.
• Series: Advances in Computational Management Science, 8
• Subjects: Finance.; Computers.; Economics, Mathematical.; Mathematical optimization.; Finance, general.; Optimization.; Quantitative Finance.; Computing Methodologies.

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 con...

Table of Contents:

• 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.