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.
General
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