Portfolio Management with Heuristic Optimization (Advances in Computational Management Science)

✍ Scribed by Dietmar G. Maringer

Publisher: Springer
Year: 2005
Tongue: English
Leaves: 237
Series: Advances in Computational Management Science
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

Book covers 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

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