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A network-based data mining approach to portfolio selection via weighted clique relaxations.
Vladimir Boginski
Sergiy Butenko
Oleg Shirokikh
Svyatoslav Trukhanov
Jaime Gil-Lafuente
Published in:
Ann. Oper. Res. (2014)
Keyphrases
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portfolio selection
maximum weight
multistage stochastic
financial markets
portfolio optimization
lower bound
portfolio management
transaction costs
optimal portfolio
multiple objectives
robust optimization
greedy algorithm
linear programming
np hard
long term
bipartite graph
feature space
data mining