Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion.
Xingying YuYang ShenXiang LiKun FanPublished in: Oper. Res. Lett. (2020)
Keyphrases
- portfolio selection
- robust optimization
- optimal portfolio
- portfolio optimization
- multistage stochastic
- decision theory
- portfolio management
- mathematical programming
- stochastic programming
- financial markets
- multiple objectives
- semidefinite programming
- neural network
- decision theoretic
- supply chain
- case based reasoning
- long term
- artificial intelligence