An integrated DEA-MODM methodology for portfolio optimization.

Chun-Ying Huang Chuang-Chun Chiou Tai-Hsi Wu Sheng-Chih Yang

Published in: Oper. Res. (2015)

Keyphrases

portfolio optimization
portfolio selection
portfolio management
factor analysis
stock price
problems involving
stock market
robust optimization
stock exchange
risk management
bi objective
evolutionary algorithm
optimization methods
sharpe ratio