Prediction based mean-value-at-risk portfolio optimization using machine learning regression algorithms for multi-national stock markets.
Jyotirmayee BeheraAjit Kumar PasayatHarekrushna BeheraPankaj KumarPublished in: Eng. Appl. Artif. Intell. (2023)
Keyphrases
- portfolio optimization
- stock market
- machine learning
- stock price
- stock exchange
- optimization methods
- portfolio management
- financial time series
- learning algorithm
- portfolio selection
- robust optimization
- risk measures
- risk management
- statistical methods
- non stationary
- financial data
- data mining
- optimization problems
- problems involving
- financial markets
- text mining
- genetic algorithm
- investment decisions