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.
Über den Autor
PD Dr. Dietmar MaringerUniversity of Erfurt - Germany
1993: Business Administration and Computer Science at the Technical University of Vienna and at the University of Vienna1997: PhD., University of Vienna1997: M.Phil. at the University of Cambridge, UK
till 2002: Assistant at the Centre for Business Studies, University of Vienna
since Nov. 2002: Assistant Professor at the University of Erfurt
Research interests: Finance, Financial Econometrics, Computational Economics and Computational Finance
Foundations.- Portfolio Management.- Heuristic Optimization B. Applications and Contributions.- 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.
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.
Discusses demanding problems often faced in practice and presents solution approaches
Combines theoretical and general presentation of Heuristic Optimization with practical applications to financial problems and demonstrates with empirical studies how these methods work and what new financial insight can be gained