Portfolio Management with Heuristic Optimization

“Portfolio Management with Heuristic Optimization” by Dietmar G. Maringer, published by Springer Science & Business Media on December 12, 2005, spans 223 pages and is presented in English. This book offers a comprehensive exploration of portfolio optimization, addressing foundational concepts, assumptions, and the limitations of traditional optimization techniques. It introduces various heuristic optimization methods and provides practical examples for their application in financial optimization scenarios.

Readers will find a detailed examination of financial optimization challenges in the second part of the book, which includes five chapters. Topics covered include the impact of transaction costs, diversification in small portfolios, and the effects of constraints on the Markowitz efficient line. Additionally, the book discusses the implications of Value-at-Risk as a risk constraint and the selection of factors for the Arbitrage Pricing Theory. This edition serves as a valuable resource for those interested in the intersection of finance, mathematics, and optimization techniques.