Portfolio Management with Heuristic Optimization

(Advances in Computational Management Science)

41O2QBO3CGL._SY291_BO1,204,203,200_QL40_ Author Dietmar G. Maringer
Isbn 9780387258522
File size 2.6MB
Year 2005
Pages 223
Language English
File format PDF
Category Business

Book 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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