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Kniha Portfolio Management with Heuristic Optimization Dietmar G. Maringer

Portfolio Management with Heuristic Optimization

Autor: Dietmar G. Maringer
Jazyk: Angličtina
Vazba: Pevná
Vydavatel: Springer-Verlag New York Inc.
Dostupnost: Skladem u dodavatele
Odesíláme za 10-13 dnů
2 286 Kč
Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations)...

Informace o knize

Autor
Dietmar G. Maringer
Jazyk
Angličtina
Vazba
Kniha - Pevná
Vydáno
2005
Stránek
223
EAN
9780387258522
ISBN
0387258523
Enbook ID
01381336
Vydavatel
Springer-Verlag New York Inc.
Hmotnost
1140
Rozměry
155 x 232 x 18

Kompletní popis

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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