P-Opt/en
Aus Aifbportal
Portfolio Selection with Complex Restrictions |
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Description
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
Information
from: 2 Januar 2004
until: 31 Dezember 2005
Funding: Schleicher-Stiftung
Predecessing Project: ITSAM
Research Group
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- unpublished
article
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
(Details)
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