Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics.
Jianping HeQing-Guo WangPeng ChengJiming ChenYouxian SunPublished in: IEEE Trans. Autom. Control. (2015)
Keyphrases
- high order
- portfolio optimization
- multi period
- sharpe ratio
- portfolio selection
- production planning
- higher order
- planning horizon
- routing problem
- problems involving
- facility location problem
- robust optimization
- factor analysis
- portfolio management
- data envelopment analysis
- total cost
- bi objective
- risk management
- pairwise
- financial markets
- lot sizing
- optimization methods
- stock market
- stock price
- stock exchange
- markov random field
- expert systems
- routing algorithm
- approximation algorithms
- multi objective
- evolutionary algorithm