Minimax Portfolio Optimization Under Interval Uncertainty.
Meng YuanXu LinJunzo WatadaVladik KreinovichPublished in: J. Adv. Comput. Intell. Intell. Informatics (2015)
Keyphrases
- portfolio optimization
- robust optimization
- risk measures
- portfolio management
- portfolio selection
- factor analysis
- stock market
- problems involving
- risk management
- bi objective
- mathematical programming
- optimization methods
- risk averse
- stock price
- stock exchange
- decision theory
- expected utility
- lot sizing
- efficient solutions
- evolutionary algorithm