Aus Aifbportal
Wechseln zu:Navigation, Suche

Portfolio Selection with Complex Restrictions

Contact: Hartmut Schmeck

Project Status: completed


Mutual Funds in Germany have to adhere to several complex restrictions, which increase the difficulty of taking the correct investment decision. These restrictions are defined in the German Investment Law (InvG) and in contractual obligations specific to every mutual fund. The goal of this research project is to develop tools and methods that allow the inclusion of these restrictions in the portfolio construction process.

Involved Persons
Michael Stein, Hartmut Schmeck


from: 2 Januar 2004
until: 31 Dezember 2005
Funding: Schleicher-Stiftung
Predecessing Project: ITSAM

Research Group

Efficient Algorithms

Area of Research

Multikriterielle Optimierung, Computational Finance, Portfolio Management, Risk Management

Publications Belonging to the Project
 - inproceedings
 - book
 - incollection
 - booklet
 - proceedings
 - phdthesis
 - techreport
 - deliverable
 - manual
 - misc
 - unpublished

Michael Stein, Jürgen Branke, Hartmut Schmeck
Efficient implementation of an active set algorithm for large-scale portfolio selection
Computers and Operations Research, 35, (12), pages 3945-3961, Dezember, 2008

↑ top