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Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it.
Elmira Mynbayeva
John D. Lamb
Yuan Zhao
Published in:
Eur. J. Oper. Res. (2022)
Keyphrases
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portfolio selection
multistage stochastic
portfolio optimization
financial markets
portfolio management
multiple objectives
optimal portfolio
transaction costs
robust optimization
linear programming
neural network
artificial intelligence