Mean-variance portfolio optimization with parameter sensitivity control.
Xueting CuiShushang ZhuDuan LiJie SunPublished in: Optim. Methods Softw. (2016)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- stock market
- problems involving
- risk management
- factor analysis
- bi objective
- robust optimization
- optimization methods
- stock price
- investment decisions
- stock exchange
- genetic algorithm
- communication networks
- cluster analysis
- optimization problems
- long term