Copula-based Black-Litterman portfolio optimization.

Maziar Sahamkhadam Andreas Stephan Ralf Östermark

Published in: Eur. J. Oper. Res. (2022)

Keyphrases

portfolio optimization
portfolio selection
problems involving
stock market
portfolio management
robust optimization
risk management
factor analysis
bi objective
stock exchange
optimization methods
stock price
data mining
linear programming
random variables