A note on portfolio optimization with path-dependent utility.
Tadashi DohiShunji OsakiPublished in: Ann. Oper. Res. (1993)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- robust optimization
- bi objective
- stock market
- optimization methods
- risk management
- stock price
- utility function
- shortest path
- stock exchange
- shortest path problem
- independent component analysis
- data mining
- case based reasoning
- face recognition
- genetic algorithm