Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach.
Davide La TorreFranklin MendivilPublished in: Ann. Oper. Res. (2022)
Keyphrases
- incomplete information
- set valued
- portfolio optimization
- variational inequalities
- autonomous agents
- portfolio selection
- probability distribution
- belief functions
- first order logic
- problems involving
- dominance relation
- risk management
- factor analysis
- bi objective
- sensitivity analysis
- robust optimization
- stock market
- machine learning