Portfolio Management with Heuristic Optimization by Dietmar G. Maringer (English

Description: Portfolio Management with Heuristic Optimization by Dietmar G. Maringer 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; FORMAT Paperback LANGUAGE English CONDITION Brand New Publisher Description 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. Notes Discusses demanding problems often faced in practice and presents solution approachesCombines theoretical and general presentation of Heuristic Optimization with practical applications to financial problems and demonstrates with empirical studies how these methods work and what new financial insight can be gained Author Biography 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 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. Long Description 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 li≠ the effects (and hidden risks) of Value-at-Risk when used the relevant risk constra∫ the problem factor selection for the Arbitrage Pricing Theory. Feature Discusses demanding problems often faced in practice and presents solution approaches Combines theoretical and general presentation of Heuristic Optimization with practical applications to financial problems and demonstrates with empirical studies how these methods work and what new financial insight can be gained Details ISBN1441938427 Author Dietmar G. Maringer Publisher Springer-Verlag New York Inc. Series Advances in Computational Management Science ISBN-10 1441938427 ISBN-13 9781441938428 Format Paperback Imprint Springer-Verlag New York Inc. Place of Publication New York, NY Country of Publication United States DEWEY 330 Edition 1st Short Title PORTFOLIO MGMT W/HEURISTIC OPT Language English Media Book Series Number 8 Pages 223 Illustrations XIV, 223 p. Year 2011 Publication Date 2011-01-05 AU Release Date 2011-01-05 NZ Release Date 2011-01-05 US Release Date 2011-01-05 UK Release Date 2011-01-05 Edition Description Softcover reprint of hardcover 1st ed. 2005 Alternative 9780387258522 Audience Professional & Vocational We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:96240426;

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