Uncertain portfolio selection with mental accounts and realistic constraints.

Li Xue Hao Di Xuejun Zhao Zili Zhang

Published in: J. Comput. Appl. Math. (2019)

Keyphrases

portfolio selection
multistage stochastic
robust optimization
portfolio optimization
multiple objectives
financial markets
portfolio management
optimal portfolio
long term
multi objective
traveling salesman problem
historical data
integer program
transaction costs