Portfolio Management with Heuristic Optimization: 8 (Advances in Computational Management Science) - Softcover

Maringer, Dietmar G. G.

 
9781441938428: Portfolio Management with Heuristic Optimization: 8 (Advances in Computational Management Science)
Softcover
ISBN 10: 1441938427 ISBN 13: 9781441938428
Verlag: Springer, 2011

Inhaltsangabe

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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Verlag
Springer
Erscheinungsdatum
2011
Sprache
Englisch
ISBN 10 
1441938427
ISBN 13 
9781441938428
Einband
Tapa blanda
Anzahl der Seiten
240
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Deutschland

Weitere beliebte Ausgaben desselben Titels

9780387258522: Portfolio Management with Heuristic Optimization (Advances in Computational Management Science, 8, Band 8)

Vorgestellte Ausgabe

ISBN 10:  0387258523 ISBN 13:  9780387258522
Verlag: Springer, 2005
Hardcover