Grey Wolf Optimization Model for the Best Mean-Variance Based Stock Portfolio Selection.
Dalia KriksciunieneVirgilijus SakalauskasAudrius ImbrazasPublished in: IBICA (2020)
Keyphrases
- portfolio selection
- optimization model
- spare parts
- financial markets
- stock market
- transaction costs
- stock price
- multistage stochastic
- portfolio optimization
- optimization process
- network flow
- portfolio management
- robust optimization
- short term
- multiple objectives
- inventory management
- trading systems
- non stationary
- historical data
- optimal portfolio