Robust Portfolio Optimization with Multi-Factor Stochastic Volatility.

Ben-Zhang Yang Xiaoping Lu Guiyuan Ma Song-Ping Zhu

Published in: J. Optim. Theory Appl. (2020)

Keyphrases

portfolio optimization
stock price
factor analysis
stock market
robust optimization
portfolio management
genetic algorithm
management system
bi objective
decision making
case based reasoning
decision support system
short term
knapsack problem
stock exchange