Portfolio management with heuristic optimization

摘要: Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals the foundations portfolio optimization, its assumptions, approaches and limitations when "traditional" optimization techniques are to be applied. In addition, basic concepts several heuristic presented along examples how implement them for financial problems. second (Applications Contributions) consists five chapters, covering different problems in optimization: effectsof (linear, proportional combined) transaction costs together integer constraints on initital endowment invested; diversification small portfolios; effect cardinality Markowitz efficient line; effects (and hidden risks) Value-at-Risk used relevant risk constraint; problem factor selection Arbitrage Pricing Theory.