Futures price modeling under exchange rate volatility and its multi-period semi-variance portfolio selection.
Wei YanShurong LiPublished in: Int. J. Syst. Sci. (2009)
Keyphrases
- financial markets
- exchange rate
- portfolio selection
- multi period
- stock price
- foreign exchange
- stock market
- production planning
- financial time series
- long run
- multi item
- routing problem
- risk management
- facility location problem
- data mining
- lot sizing
- total cost
- data envelopment analysis
- planning horizon
- approximation algorithms
- text categorization
- feature selection
- machine learning