A Novel Portfolio Optimization with Short Selling Using GNQTS and Trend Ratio.

Yu-Chi Jiang Xin Jie Cheam Cheng-Ying Chen Shu-Yu Kuo Yao-Hsin Chou

Published in: SMC (2018)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
problems involving
stock market
risk management
factor analysis
robust optimization
optimization methods
bi objective
stock price
multi objective
optimization problems
linear programming
clustering method
multiple objectives