Adaptive Budget-Portfolio Investment Optimization Under Risk Tolerance Ambiguity.
Shuming WangBo WangJunzo WatadaPublished in: IEEE Trans. Fuzzy Syst. (2017)
Keyphrases
- portfolio management
- portfolio optimization
- investment decisions
- decision making
- asset allocation
- optimal portfolio
- var model
- investment strategies
- portfolio selection
- market data
- sharpe ratio
- optimization problems
- optimization algorithm
- global optimization
- robust optimization
- risk aversion
- optimization process
- constrained optimization
- high risk
- transaction costs
- multiple objectives
- risk management
- optimization method
- discrete optimization
- stochastic programming
- expected utility
- optimization model
- problems involving
- risk averse
- factor analysis
- evolutionary algorithm