Quantile-based optimal portfolio selection.

Taras Bodnar Mathias Lindholm Erik Thorsén Joanna Tyrcha

Published in: Comput. Manag. Sci. (2021)

Keyphrases

portfolio selection
optimal portfolio
multistage stochastic
portfolio optimization
dynamic programming
multiple objectives
financial markets
optimal solution
worst case
genetic algorithm
support vector
long term
supply chain
non stationary
expected utility