Dynamic Portfolio Optimization with Looping Contagion Risk.
Longjie JiaMartijn PistoriusHarry ZhengPublished in: SIAM J. Financial Math. (2019)
Keyphrases
- portfolio optimization
- risk management
- portfolio management
- portfolio selection
- risk measures
- problems involving
- bi objective
- factor analysis
- stock market
- optimization methods
- investment decisions
- robust optimization
- genetic algorithm
- stock exchange
- sharpe ratio
- data mining
- financial markets
- statistically significant
- decision support system
- long term