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The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors.
Pieter M. van Staden
Duy-Minh Dang
Peter A. Forsyth
Published in:
Eur. J. Oper. Res. (2021)
Keyphrases
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portfolio optimization
portfolio selection
factor analysis
robust optimization
problems involving
portfolio management
risk management
bi objective
stock market
optimization methods
stock exchange
stock price
investment decisions
face recognition
optimization algorithm
utility function