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

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

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

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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