Dynamic portfolio optimization with risk-aversion adjustment utilizing technical indicators.

Ran Ji Miguel A. Lejeune Srinivas Y. Prasad

Published in: FUSION (2017)

Keyphrases

portfolio optimization
risk aversion
stock price
risk averse
portfolio management
portfolio selection
expected utility
exchange rate
utility function
long term
trading systems
risk management
stock market
data mining
bi objective
robust optimization
problems involving