Portfolio optimization with behavioural preferences and investor memory.
Richard D. F. HarrisMurat MazibasPublished in: Eur. J. Oper. Res. (2022)
Keyphrases
- principal component analysis
- portfolio optimization
- stock market
- stock price
- portfolio selection
- investment decisions
- stock exchange
- portfolio management
- problems involving
- risk management
- factor analysis
- financial markets
- bi objective
- multiple objectives
- robust optimization
- short term
- financial data
- non stationary
- decision making
- exchange rate
- optimization methods
- optimization algorithm
- dynamic programming