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Controlling risk through diversification in portfolio selection with non-historical information.
Clara Calvo
Carlos Ivorra
Vicente Liern
Published in:
J. Oper. Res. Soc. (2018)
Keyphrases
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portfolio selection
historical information
portfolio optimization
portfolio management
risk measures
optimal portfolio
decision making
financial markets
investment decisions
risk management
robust optimization
expected utility
source code
multiple objectives
tabu search
object oriented