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Multi-period uncertain portfolio optimization model with minimum transaction lots and dynamic risk preference.
Yuanzhen Dai
Zhongfeng Qin
Published in:
Appl. Soft Comput. (2021)
Keyphrases
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portfolio optimization
portfolio management
multi period
probabilistic model
decision making
bayesian networks
objective function
np hard
probability distribution
linear programming
combinatorial optimization
problems involving
data envelopment analysis
investment decisions