| 书目名称 | Portfolio Management with Heuristic Optimization |
| 编辑 | Dietmar Maringer |
| 视频video | |
| 概述 | Discusses demanding problems often faced in practice and presents solution approaches.Combines theoretical and general presentation of Heuristic Optimization with practical applications to financial p |
| 丛书名称 | Advances in Computational Management Science |
| 图书封面 |  |
| 描述 | .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. |
| 出版日期 | Book 2005 |
| 关键词 | Arbitrage; Asset Pricing; Finance; Heuristic; Management; Portfolio; Portfolio Management; Portfolio Optimi |
| 版次 | 1 |
| doi | https://doi.org/10.1007/b136219 |
| isbn_softcover | 978-1-4419-3842-8 |
| isbn_ebook | 978-0-387-25853-9Series ISSN 1388-4301 |
| issn_series | 1388-4301 |
| copyright | Springer-Verlag US 2005 |
发表于 2025-3-21 19:44:54
