Transaction Costs-Aware Portfolio Optimization via Fast Lowner-John Ellipsoid Approximation.
Weiwei ShenJun WangPublished in: AAAI (2015)
Keyphrases
- transaction costs
- portfolio optimization
- portfolio management
- portfolio selection
- stock exchange
- stock market
- stock price
- problems involving
- factor analysis
- robust optimization
- risk management
- financial data
- bi objective
- non stationary
- financial time series
- financial markets
- data mining
- principal component analysis
- evolutionary algorithm