Advances in Computational Management Science

Portfolio Management with Heuristic Optimization

Authors: Maringer, Dietmar G.

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About this book

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.

About the authors

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

Buy this book

eBook $149.00
price for USA (gross)
  • ISBN 978-0-387-25853-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $199.00
price for USA
  • ISBN 978-0-387-25852-2
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $199.00
price for USA
  • ISBN 978-1-4419-3842-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Portfolio Management with Heuristic Optimization
Authors
Series Title
Advances in Computational Management Science
Series Volume
8
Copyright
2005
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-25853-9
DOI
10.1007/b136219
Hardcover ISBN
978-0-387-25852-2
Softcover ISBN
978-1-4419-3842-8
Series ISSN
1388-4301
Edition Number
1
Number of Pages
XIV, 223
Topics