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Expected utility maximization and conditional value-at-risk deviation-based Sharpe ratio in dynamic stochastic portfolio optimization.
Sona Kilianová
Daniel Sevcovic
Published in:
Kybernetika (2018)
Keyphrases
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portfolio optimization
sharpe ratio
utility maximization
portfolio management
portfolio selection
stock market
robust optimization
factor analysis
problems involving
utility function
risk management
optimization methods
stock price
bi objective
evolutionary algorithm
multi objective optimization