Multi-market portfolio optimization with conditional value at risk.
Stefano NasiniMartine LabbéLuce BrotcornePublished in: Eur. J. Oper. Res. (2022)
Keyphrases
- portfolio optimization
- portfolio management
- stock market
- stock price
- stock exchange
- portfolio selection
- investment decisions
- problems involving
- factor analysis
- robust optimization
- financial markets
- bi objective
- financial data
- optimization methods
- exchange rate
- transaction costs
- decision making
- risk management
- short term
- non stationary
- missing data