A stochastic programming approach to multicriteria portfolio optimization.
Ceren Tuncer SakarMurat KöksalanPublished in: J. Glob. Optim. (2013)
Keyphrases
- stochastic programming
- portfolio optimization
- robust optimization
- portfolio selection
- portfolio management
- mathematical programming
- multistage
- risk averse
- linear program
- decision problems
- semidefinite programming
- optimization methods
- risk management
- genetic algorithm
- problems involving
- stock exchange
- factor analysis
- multiple objectives
- stock price
- stock market
- shortest path
- cost function
- evolutionary algorithm