Dynamic mean-CVaR portfolio optimization in continuous-time.
Jianjun GaoYan XiongPublished in: ICCA (2013)
Keyphrases
- portfolio optimization
- portfolio selection
- risk measures
- robust optimization
- problems involving
- risk management
- portfolio management
- factor analysis
- bi objective
- stock market
- optimization methods
- stock price
- multi objective
- multiple objectives
- expert systems
- independent component analysis
- simulated annealing
- management system
- risk averse