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

Portfolio Management with Heuristic Optimization (Advances in Computational Management Science)
Автор
 
Год
 
Страниц
 
222
ISBN
 
ISBN10:0387258523
Издатель
 
Springer

Описание:

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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