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Portfolio Selection with Complex Restrictions


Contact: Hartmut Schmeck




Project Status: completed


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
Michael Stein, Hartmut Schmeck


Information

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



Research Group

Efficient Algorithms


Area of Research

Computational Finance, Multikriterielle Optimierung, 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 - unpublished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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