Multi-Period Portfolio Optimization for Index Tracking in Finance.
Xiuyuan HuangZepeng ZhangZiping ZhaoPublished in: ACSCC (2021)
Keyphrases
- multi period
- portfolio optimization
- portfolio management
- production planning
- portfolio selection
- planning horizon
- factor analysis
- problems involving
- facility location problem
- data envelopment analysis
- routing problem
- robust optimization
- risk management
- total cost
- lot sizing
- stock market
- stock price
- optimization methods
- bi objective
- multi item
- financial markets
- supply chain
- data mining
- linear program
- stock exchange
- random variables
- expert systems
- computational complexity