Risk preference modeling with conditional average: an application to portfolio optimization.
Adam KrzemienowskiPublished in: Ann. Oper. Res. (2009)
Keyphrases
- portfolio optimization
- portfolio management
- risk management
- portfolio selection
- risk measures
- problems involving
- robust optimization
- factor analysis
- bi objective
- optimization methods
- investment decisions
- stock market
- stock price
- expert systems
- knapsack problem
- stock exchange
- independent component analysis
- text documents
- long term
- genetic algorithm
- sharpe ratio