Portfolio optimization for wealth-dependent risk preferences.

Luis Miguel Rios Nikolaos V. Sahinidis

Published in: Ann. Oper. Res. (2010)

Keyphrases

portfolio optimization
portfolio management
risk management
portfolio selection
risk measures
problems involving
factor analysis
stock market
bi objective
robust optimization
optimization methods
investment decisions
stock price
stock exchange
multiple objectives
decision making
decision support system