Multistage portfolio optimization with stocks and options.
Hamed Davari-ArdakaniMajid AminnayeriAbbas SeifiPublished in: Int. Trans. Oper. Res. (2016)
Keyphrases
- multistage
- portfolio optimization
- stock market
- stock exchange
- stock price
- sharpe ratio
- investment decisions
- portfolio management
- single stage
- short term
- stochastic programming
- financial data
- dynamic programming
- financial time series
- portfolio selection
- lot sizing
- non stationary
- problems involving
- factor analysis
- historical data
- risk management
- long term
- robust optimization
- trading strategies
- decision making
- optimization methods
- news articles
- linear program