Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints.
Ran JiMiguel A. LejeunePublished in: Ann. Oper. Res. (2018)
Keyphrases
- portfolio optimization
- portfolio management
- portfolio selection
- risk management
- risk measures
- investment decisions
- problems involving
- factor analysis
- robust optimization
- stock market
- optimization methods
- sharpe ratio
- bi objective
- decision support system
- stock exchange
- risk averse
- stock price
- particle swarm optimization