Multistage risk premiums in portfolio optimization.
Milos KopaBarbora PetrováPublished in: Kybernetika (2017)
Keyphrases
- portfolio optimization
- multistage
- portfolio management
- risk management
- portfolio selection
- factor analysis
- problems involving
- investment decisions
- robust optimization
- single stage
- risk measures
- stock market
- stock price
- lot sizing
- dynamic programming
- optimization methods
- stochastic programming
- stock exchange
- bi objective
- optimal policy
- long term
- decision making
- decision support system
- simulated annealing
- evolutionary algorithm