ENGLISH

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

By Dietmar G. Maringer

Book information

Publisher
Springer
Year
2005
ISBN
9780387258522, 0387258523
Open Library ID
OL7444884M
Language
english
Format
PDF
Filesize
3 MB (2850212 bytes)
Series
Advances in Computational Management Science
Edition
1
Pages
237\237
Time added
2010-02-18 13:16:04

Description

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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