Autonomous Sparse Mean-CVaR Portfolio Optimization.

Yizun Lin Yangyu Zhang Zhao-Rong Lai Cheng Li

Published in: CoRR (2024)

Keyphrases

portfolio optimization
portfolio selection
robust optimization
risk measures
portfolio management
problems involving
risk management
stock market
factor analysis
optimization methods
stock price
bi objective
mathematical programming
stock exchange
high dimensional
financial markets
source code
multi objective