A Nested Simulation Optimization Approach for Portfolio Selection.
Yifan LinEnlu ZhouAly MegahedPublished in: WSC (2020)
Keyphrases
- portfolio selection
- robust optimization
- portfolio optimization
- multiple objectives
- multistage stochastic
- optimization algorithm
- financial markets
- portfolio management
- optimization problems
- mathematical programming
- artificial intelligence
- information extraction
- decision problems
- optimization methods
- stochastic programming