Portfolio Management with Heuristic Optimization

2005
ISBN: 978-0-387-25852-2
Verlag: Springer US

Buch, Englisch, Band 8, 223 Seiten, HC runder Rücken kaschiert, Format (B × H): 160 mm x 241 mm, Gewicht: 1140 g

Reihe: Advances in Computational Management Science

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.

Zielgruppe

Research

Autoren/Hrsg.

Maringer, Dietmar G.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Unternehmensfinanzierung
• Mathematik | Informatik Mathematik Operations Research Spieltheorie
• Wirtschaftswissenschaften Betriebswirtschaft Unternehmensfinanzen Finanzierung, Investition, Leasing
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsinformatik, SAP, IT-Management
• Mathematik | Informatik EDV | Informatik Business Application Unternehmenssoftware SAP
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Computeranwendungen in der Mathematik
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Anlagen & Wertpapiere
• Mathematik | Informatik Mathematik Numerik und Wissenschaftliches Rechnen Angewandte Mathematik, Mathematische Modelle

Inhaltsverzeichnis

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.

Über Autor(innen)

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