RACORN-K: Risk-Aversion Pattern Matching-based Portfolio Selection.
Yang WangDong WangThomas Fang ZhengPublished in: APSIPA (2018)
Keyphrases
- pattern matching
- portfolio selection
- risk aversion
- risk averse
- portfolio management
- utility function
- expected utility
- portfolio optimization
- exchange rate
- financial markets
- robust optimization
- stochastic programming
- multiple objectives
- decision theory
- long term
- multi objective optimization
- transaction costs
- decision problems
- decision makers
- case based reasoning