A Markowitz Portfolio Approach to Options Trading.
Licheng ZhaoDaniel P. PalomarPublished in: IEEE Trans. Signal Process. (2018)
Keyphrases
- portfolio selection
- portfolio optimization
- financial markets
- stock exchange
- stock price
- option pricing
- sharpe ratio
- portfolio management
- stock market
- market data
- stock data
- trading systems
- dow jones
- trading strategies
- optimal portfolio
- transaction costs
- investment strategies
- factor analysis
- non stationary
- risk management
- stock trading
- financial data
- foreign exchange
- robust optimization
- bi objective
- electronic commerce
- problems involving
- historical data
- search strategies
- supply chain
- genetic algorithm
- electricity markets
- exchange rate
- fuzzy sets
- search algorithm
- social networks