Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

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Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download. Managing financial portfolios is primarily concerned with finding a combination of assets that serves an investor’s needs and demands the best. This includes a wide range of aspects such as the analysis of the investor’s attitude towards risk, expected return and consumption; estimations of future payoffs of the financial securities and the risk associated with it have to be made; assessing the relationships between securities; determining fair prices for these securities – and finding an optimal combination of financial securities.

Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

Many of these tasks are interrelated: what is an optimal combination depends on the investor’s preferences as well as on the properties of the assets, which, in return, will affect what is considered a fair price and vice versa. The usual (theoretical) frameworks for portfolio management and portfolio optimization assume markets to be frictionless. Though it drives the models away from reality, this assumption has long been considered the only way to make these models approachable.

Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

However, with the advent of a new type of optimization and search techniques, heuristic optimization, more complex scenarios and settings can be investigated and many of these simplifying assumptions are no longer necessary. This book is merely concerned with problems in portfolio management when there are market frictions and when there are no ready-made solutions available. For this purpose, the first two chapters present the foundations for portfolio management and new optimization techiques.

Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

In the subsequent chapters, financial models will be enhanced by problems and aspects faced in real-life such as transaction costs, indivisible assets, limits on the number of assets, alternative risk measures and descriptions of the returns’ distributions, and so on. For each of these enhanced problems, a detailed presentation of the model will be followed by a description of how it can be approached with heuristic optimization. Next, the suggested approaches will be applied to empirical studies and the conclusions for financial theory will be discussed.

Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

Portfolio Management with Heuristic Optimization Dietmar Maringer pdf free download

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