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Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios.

Mazin A. M. Al JanabiJose Arreola HernandezTheo BergerDuc Khuong Nguyen
Published in: Eur. J. Oper. Res. (2017)
Keyphrases
  • portfolio optimization
  • optimization methods
  • evolutionary algorithm
  • non stationary
  • stock price