000 02868nam a22004935i 4500
001 978-0-387-25853-9
003 DE-He213
005 20161121230854.0
007 cr nn 008mamaa
008 100301s2005 xxu| s |||| 0|eng d
020 _a9780387258539
_9978-0-387-25853-9
024 7 _a10.1007/b136219
_2doi
050 4 _aHG1-HG9999
072 7 _aKFF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
100 1 _aMaringer, Dietmar.
_eauthor.
245 1 0 _aPortfolio Management with Heuristic Optimization
_h[electronic resource] /
_cby Dietmar Maringer.
264 1 _aBoston, MA :
_bSpringer US,
_c2005.
300 _aXIV, 223 p.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aAdvances in Computational Management Science,
_x1388-4301 ;
_v8
505 0 _aPortfolio 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.
520 _aPortfolio 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.
650 0 _aFinance.
650 0 _aComputers.
650 0 _aEconomics, Mathematical.
650 0 _aMathematical optimization.
650 1 4 _aFinance.
650 2 4 _aFinance, general.
650 2 4 _aOptimization.
650 2 4 _aQuantitative Finance.
650 2 4 _aComputing Methodologies.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9780387258522
830 0 _aAdvances in Computational Management Science,
_x1388-4301 ;
_v8
856 4 0 _uhttp://dx.doi.org/10.1007/b136219
912 _aZDB-2-SBE
950 _aBusiness and Economics (Springer-11643)
999 _c505206
_d505206