Portfolio management with heuristic optimization.
type: Item
instance of: scholarly article
title: Portfolio management with heuristic optimization.
zbMATH Open document ID: 1142.91005
published in: Advances in Computational Management Science
publication date: 2006-11-28T00:00:00Z
review text: The book under review is an outgrowth of a habilitation's thesis (German) and consists out of three parts. The first chapter gives an overview of by now classical models in portfolio management such as for instance the optimization model of Markowitz and Arbitrage Pricing Theory. These models are tractable, but very often too simple to describe the financial reality in an appropriate way. The second chapter gives an overview of a number of heuristic optimization techniques, such as for instance Simulated Annealing, Ant Colony Optimization and Memetic Algorithms. These techniques are applied in the third part of the book, in the chapters three up till chapter seven, on more realistic optimization models related to portfolio management, as the classical optimization techniques often fail on these models. All these chapters basically are divided in three parts, first there is a description of the financial problem, and a statement of the optimization model, then the heuristic optimization scheme is described, and the chapters conclude with elaborate empirical studies, where the data refer to real-world problems, including an application of the optimization scheme and consequences for portfolio management. The optimization models in these chapters can be considered as complicated offspring of models in chapter one. The book ends with an extensive bibliography. In order to benefit from this book one already has to be familiar with the classical models of portfolio management and with classical optimization algorithms. But even when one is familiar with these areas, this does not mean, that one can easily apply the results in the book, because the description of the algorithms is in the view of the reviewer not always detailed enough. But with the help of the references to the original papers one really gets running. For persons active in computational portfolio management this book offers quite some interesting stimuli. Researchers active in heuristic optimization, and t…
reviewed by: Johannes W. Nieuwenhuis
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 90C59
zbMATH DE Number: 5076519
zbMATH Keywords: portfolio management
zbMATH Keywords: heuristic optimization
author: Dietmar G. Maringer
MaRDI profile type: Publication
full work available at URL: b136219
OpenAlex ID: W4206279507
DOI: 10.1007/B136219
description: scientific article; zbMATH DE number 5076519