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Portfolio optimization with a copula-based extension of conditional value-at-risk.
Adam Krzemienowski
Sylwia Szymczyk
Published in:
Ann. Oper. Res. (2016)
Keyphrases
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portfolio optimization
portfolio selection
factor analysis
portfolio management
robust optimization
problems involving
risk management
stock market
bi objective
optimization methods
stock price
data mining
stock exchange
optimization algorithm