Mean-VaR portfolio optimization: A nonparametric approach.
Khin LwinRong QuBart L. MacCarthyPublished in: Eur. J. Oper. Res. (2017)
Keyphrases
- portfolio optimization
- risk measures
- robust optimization
- portfolio selection
- portfolio management
- stock market
- factor analysis
- problems involving
- risk management
- optimization methods
- mathematical programming
- bi objective
- stock price
- lot sizing
- data mining
- multistage
- ant colony optimization
- stock exchange
- case based reasoning
- long term
- recommender systems