Optimal portfolio selection using quantile and composite quantile regression models.
A. AghamohammadiH. DadashiMahdi SojoudiMeysam SojoudiM. TavoosiPublished in: Commun. Stat. Simul. Comput. (2024)
Keyphrases
- regression model
- portfolio selection
- optimal portfolio
- regression analysis
- regression methods
- dynamic programming
- model selection
- prediction model
- multivariate regression
- optimal solution
- target variable
- explanatory variables
- logistic regression
- multiple objectives
- decision support system
- regression trees
- decision makers
- decision making
- machine learning