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Time-varying mean-variance portfolio selection problem solving via LVI-PDNN.
Vasilios N. Katsikis
Spyridon D. Mourtas
Predrag S. Stanimirovic
Shuai Li
Xinwei Cao
Published in:
Comput. Oper. Res. (2022)
Keyphrases
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portfolio selection
portfolio optimization
portfolio management
multistage stochastic
case based reasoning
financial markets
artificial intelligence
robust optimization
multiple objectives
optimal portfolio
long term
simulated annealing
knapsack problem
transaction costs