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Книга Portfolio Management with Heuristic Optimization Dietmar G. Maringer

Portfolio Management with Heuristic Optimization

Автор: Dietmar G. Maringer
Език: Английски език
Корици: С твърди корици
Издател: Springer-Verlag New York Inc.
Наличност: Външен склад в ограничено количество
Изпращаме след 11-15 дни
116.25 € 227.37 лв
Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations)...

Информация за книгата

Автор
Dietmar G. Maringer
Език
Английски език
Корици
Книга - С твърди корици
Издадена
2005
страници
223
EAN
9780387258522
ISBN
0387258523
Enbook ID
01381336
Издател
Springer-Verlag New York Inc.
Теглоt
1140
Размери
155 x 232 x 18

Пълно описание

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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