Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions.

Bruce I. Jacobs Kenneth N. Levy Harry M. Markowitz

Published in: Oper. Res. (2005)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
factor analysis
problems involving
stock market
bi objective
robust optimization
risk management
stock price
stock exchange
genetic algorithm
software engineering
optimization methods
key factors
network design