Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation.
Marcos Escobar-AnelMichel KschonnekRudi ZagstPublished in: Math. Methods Oper. Res. (2022)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- problems involving
- stock market
- factor analysis
- objective function
- resource allocation
- expert systems
- utility function
- risk management
- bi objective
- robust optimization
- investment decisions
- stock exchange
- stock price
- independent component analysis
- long term