Portfolio Management with Heuristic Optimization

1. Front Matter

   Pages i-xiv

   PDF

2. Portfolio Management

   Pages 1-37

3. Heuristic Optimization

   Pages 38-76

4. Transaction Costs and Integer Constraints

   Pages 77-99

5. Diversification in Small Portfolios

   Pages 100-121

6. Cardinality Constraints for Markowitz Efficient Lines

   Pages 122-143

7. The Hidden Risk of Value at Risk

   Pages 144-179

8. Finding Relevant Risk Factors in Asset Pricing

   Pages 180-196

9. Concluding Remarks

   Pages 197-200

10. Back Matter

    Pages 201-223

    PDF

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.

• Arbitrage
• Asset Pricing
• Finance
• Heuristic
• Management
• Portfolio
• Portfolio Management
• Portfolio Optimization
• Proposal
• optimization
• paraplucon
• quantitative finance

• University of Erfurt, Germany

  Dietmar Maringer

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

Policies and ethics