Portfolio Management With Heuristic Optimization

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Portfolio Management With Heuristic Optimization

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Author : Dietmar G. Maringer
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-07-02

Portfolio Management With Heuristic Optimization written by Dietmar G. Maringer and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-07-02 with Business & Economics categories.

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.

Portfolio Management With Heuristic Optimization

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Author : Dietmar G. Maringer
language : en
Publisher: Springer
Release Date : 2008-11-01

Portfolio Management With Heuristic Optimization written by Dietmar G. Maringer and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-11-01 with Business & Economics categories.

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.

Metaheuristic Approaches To Portfolio Optimization

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Author : Ray, Jhuma
language : en
Publisher: IGI Global
Release Date : 2019-06-22

Metaheuristic Approaches To Portfolio Optimization written by Ray, Jhuma and has been published by IGI Global this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-06-22 with Business & Economics categories.

Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.

A Heuristic Approach To Portfolio Optimization

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Author : Manfred Gilli
language : en
Publisher:
Release Date : 2000

A Heuristic Approach To Portfolio Optimization written by Manfred Gilli and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000 with categories.

Biases And Heuristics In Portfolio Management Determinants For Non Optimal Portfolio Diversification

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Author : Ibrahim Filiz
language : en
Publisher:
Release Date : 2019

Biases And Heuristics In Portfolio Management Determinants For Non Optimal Portfolio Diversification written by Ibrahim Filiz and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with Portfolio management categories.

Markowitz (1952) shows that it is useful for risk-averse investors to split capital among different investment instruments. Practice shows, however, that investors often have non-optimal diversified portfolios. There are many possible reasons for securities portfolios not being optimally diversified. In the last two decades, experimental economic research in particular has identified some heuristics and cognitive distortions (such as the 1/N heuristic, home bias, mental accounting or the illusion of control) which can contribute towards non-optimal portfolio diversification. Additional rese...

Efficient Asset Management

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Author : Richard O. Michaud
language : en
Publisher: Oxford University Press
Release Date : 2008-03-03

Efficient Asset Management written by Richard O. Michaud and has been published by Oxford University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-03-03 with Business & Economics categories.

In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.

Robust Portfolio Optimization And Management

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Author : Frank J. Fabozzi
language : en
Publisher: John Wiley & Sons
Release Date : 2007-04-27

Robust Portfolio Optimization And Management written by Frank J. Fabozzi and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-04-27 with Business & Economics categories.

Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University

A Heuristic Approach To A Portfolio Optimization Model With Nonlinear Transaction Costs

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Author : Sungsoo Na
language : en
Publisher:
Release Date : 2008

A Heuristic Approach To A Portfolio Optimization Model With Nonlinear Transaction Costs written by Sungsoo Na and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.

Keywords: heuristic optimization, portfolio optimization model, transaction costs.

Robust Equity Portfolio Management

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Author : Woo Chang Kim
language : en
Publisher: John Wiley & Sons
Release Date : 2015-11-30

Robust Equity Portfolio Management written by Woo Chang Kim and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-30 with Business & Economics categories.

A comprehensive portfolio optimization guide, with provided MATLAB code Robust Equity Portfolio Management + Website offers the most comprehensive coverage available in this burgeoning field. Beginning with the fundamentals before moving into advanced techniques, this book provides useful coverage for both beginners and advanced readers. MATLAB code is provided to allow readers of all levels to begin implementing robust models immediately, with detailed explanations and applications in the equity market included to help you grasp the real-world use of each technique. The discussion includes the most up-to-date thinking and cutting-edge methods, including a much-needed alternative to the traditional Markowitz mean-variance model. Unparalleled in depth and breadth, this book is an invaluable reference for all risk managers, portfolio managers, and analysts. Portfolio construction models originating from the standard Markowitz mean-variance model have a high input sensitivity that threatens optimization, spawning a flurry of research into new analytic techniques. This book covers the latest developments along with the basics, to give you a truly comprehensive understanding backed by a robust, practical skill set. Get up to speed on the latest developments in portfolio optimization Implement robust models using provided MATLAB code Learn advanced optimization methods with equity portfolio applications Understand the formulations, performances, and properties of robust portfolios The Markowitz mean-variance model remains the standard framework for portfolio optimization, but the interest in—and need for—an alternative is rapidly increasing. Resolving the sensitivity issue and dramatically reducing portfolio risk is a major focus of today's portfolio manager. Robust Equity Portfolio Management + Website provides a viable alternative framework, and the hard skills to implement any optimization method.

Portfolio Optimization Using Fundamental Indicators Based On Multi Objective Ea

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Author : Antonio Daniel Silva
language : en
Publisher: Springer
Release Date : 2016-02-11

Portfolio Optimization Using Fundamental Indicators Based On Multi Objective Ea written by Antonio Daniel Silva and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-11 with Technology & Engineering categories.

This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage