Metaheuristics for Portfolio Optimization
An Introduction using MATLAB

G. A. Vijayalakshmi Pai (Author)

9781786302816, Wiley

Hardback, published 9 January 2018

320 pages
23.6 x 16.3 x 2.5 cm, 0.635 kg

The book is a monograph in the cross disciplinary area of Computational Intelligence in Finance and elucidates a collection of practical and strategic Portfolio Optimization models in Finance, that employ Metaheuristics for their effective solutions and demonstrates the results using MATLAB implementations, over live portfolios invested across global stock universes. The book has been structured in such a way that, even novices in finance or metaheuristics should be able to comprehend and work on the hybrid models discussed in the book.

1. A Brief Primer on Metaheuristics.
2. Heuristic Portfolio Selection.
3. Risk Budgeted Portfolio Optimization.
4. Heuristic Optimization of Equity Market Neutral Portfolios.
5. Metaheuristic 130-30 Portfolio Construction.
6. Metaheuristic Portfolio Rebalancing with Transaction Costs.

Subject Areas: Computer science [UY]