Functional Portfolio Optimization in Stochastic Portfolio Theory.
Steven CampbellTing-Kam Leonard WongPublished in: SIAM J. Financial Math. (2022)
Keyphrases
- portfolio optimization
- portfolio theory
- portfolio selection
- financial markets
- portfolio management
- stock price
- problems involving
- factor analysis
- risk management
- bi objective
- stock market
- robust optimization
- stock exchange
- probability ranking principle
- optimization methods
- objective function
- decision support system
- expert systems