Short-term Portfolio Optimization using Doubly Regularized Exponential Growth Rate.
Quanlong GuanJinneng HeZhao-Rong LaiYuyu ZhouQuming JiangZiliang ChenPublished in: CSCWD (2024)
Keyphrases
- short term
- portfolio optimization
- growth rate
- stock market
- long term
- stock price
- portfolio selection
- portfolio management
- stock exchange
- robust optimization
- short term and long term
- problems involving
- risk management
- economic development
- bi objective
- financial time series
- long term memory
- least squares
- factor analysis
- optimization methods
- forecasting model
- wind speed
- load forecasting
- financial data
- financial markets
- highly correlated
- multi objective