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

Скачать книгу бесплатно (pdf, 2.72 Mb)

---

Читать «Portfolio Management with Heuristic Optimization (Advances in Computational Management Science)»