Portfolio optimization with entropic value-at-risk.

Amir Ahmadi-Javid Malihe Fallah-Tafti

Published in: Eur. J. Oper. Res. (2019)

Keyphrases

portfolio optimization
risk management
portfolio management
portfolio selection
risk measures
problems involving
stock market
robust optimization
factor analysis
bi objective
investment decisions
stock price
optimization methods
stock exchange
sharpe ratio
risk averse
clustering algorithm