Nonconvex multi-period mean-variance portfolio optimization.
Zhongming WuGuoyu XieZhili GeValentina De SimonePublished in: Ann. Oper. Res. (2024)
Keyphrases
- portfolio optimization
- multi period
- portfolio selection
- production planning
- facility location problem
- planning horizon
- problems involving
- robust optimization
- data envelopment analysis
- multi item
- stock market
- global optimization
- risk management
- routing problem
- lot sizing
- factor analysis
- optimization problems
- convex optimization
- objective function
- stock price
- bi objective
- stock exchange
- total cost
- optimization methods
- data mining
- mathematical programming
- expected cost
- resource allocation
- evolutionary algorithm
- decision making