© 2005

Portfolio Management with Heuristic Optimization


Part of the Advances in Computational Management Science book series (AICM, volume 8)

Table of contents

About this book


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.


Arbitrage Asset Pricing Finance Heuristic Management Portfolio Portfolio Management Portfolio Optimization Proposal optimization paraplucon

Authors and affiliations

  1. 1.University of ErfurtGermany

About the authors

PD Dr. Dietmar Maringer
University of Erfurt - Germany


1993: Business Administration and Computer Science at the Technical University of Vienna and at the University of Vienna
1997: PhD., University of Vienna
1997: M.Phil. at the University of Cambridge, UK


till 2002: Assistant at the Centre for Business Studies, University of Vienna

since Nov. 2002: Assistant Professor at the University of Erfurt

Research interests: Finance, Financial Econometrics, Computational Economics and Computational Finance

Heuristic Optimisation

Bibliographic information

Industry Sectors
Chemical Manufacturing
Finance, Business & Banking
Consumer Packaged Goods