An Evolutionary Optimization Approach to Risk Parity Portfolio Selection.
Ronald HochreiterPublished in: CoRR (2014)
Keyphrases
- portfolio selection
- portfolio optimization
- portfolio management
- robust optimization
- risk measures
- multiple objectives
- optimal portfolio
- multistage stochastic
- financial markets
- expected utility
- stochastic programming
- decision making
- data mining
- risk management
- transaction costs
- optimization methods
- stock market
- multi objective