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Portfolio Management with Heuristic Optimization
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 con...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Springer US : Imprint: Springer,
2005.
|
| Edición: | 1st ed. 2005. |
| Colección: | Advances in Computational Management Science ;
8 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 024 | 7 | |a 10.1007/b136219 |2 doi | |
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| 100 | 1 | |a Maringer, Dietmar G. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Portfolio Management with Heuristic Optimization |h [electronic resource] / |c by Dietmar G. Maringer. |
| 250 | |a 1st ed. 2005. | ||
| 264 | 1 | |a New York, NY : |b Springer US : |b Imprint: Springer, |c 2005. | |
| 300 | |a XIV, 223 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a Advances in Computational Management Science ; |v 8 | |
| 505 | 0 | |a Portfolio 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 | |a 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. | ||
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Mathematical optimization. | |
| 650 | 0 | |a Social sciences-Mathematics. | |
| 650 | 0 | |a Artificial intelligence. | |
| 650 | 1 | 4 | |a Financial Economics. |
| 650 | 2 | 4 | |a Optimization. |
| 650 | 2 | 4 | |a Mathematics in Business, Economics and Finance. |
| 650 | 2 | 4 | |a Artificial Intelligence. |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9781441938428 |
| 776 | 0 | 8 | |i Printed edition: |z 9780387507118 |
| 776 | 0 | 8 | |i Printed edition: |z 9780387258522 |
| 830 | 0 | |a Advances in Computational Management Science ; |v 8 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/b136219 |z Texto Completo |
| 912 | |a ZDB-2-SBE | ||
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| 950 | |a Business and Economics (SpringerNature-11643) | ||
| 950 | |a Economics and Finance (R0) (SpringerNature-43720) | ||