Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization.
Churlzu LimHanif D. SheraliStan UryasevPublished in: Comput. Optim. Appl. (2010)
Keyphrases
- portfolio optimization
- robust optimization
- optimization methods
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- bi objective
- risk management
- stock market
- optimization problems
- multiple objectives
- optimization algorithm
- signal processing
- stock exchange
- multi objective
- mathematical programming
- decision making
- stock price