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A compact mean-variance-skewness model for large-scale portfolio optimization and its application to the NYSE market.

Hong Seo Ryoo
Published in: J. Oper. Res. Soc. (2007)
Keyphrases
  • portfolio optimization
  • portfolio selection
  • stock exchange
  • stock price
  • stock market
  • evolutionary algorithm
  • data mining
  • decision making
  • theoretical framework
  • cost function
  • portfolio management