The Risk Profile Problem for Stock Portfolio Optimization
Ming-Yang KaoAndreas NolteStephen R. TatePublished in: CoRR (2001)
Keyphrases
- portfolio optimization
- stock market
- stock price
- portfolio management
- risk measures
- stock exchange
- portfolio selection
- risk management
- investment decisions
- problems involving
- bi objective
- short term
- factor analysis
- financial markets
- non stationary
- robust optimization
- historical data
- financial data
- financial time series
- sharpe ratio
- trading strategies
- optimization methods
- exchange rate
- particle swarm optimization
- objective function
- data mining