Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals.
Xuan Vinh DoanXiaobo LiKarthik NatarajanPublished in: Oper. Res. (2015)
Keyphrases
- portfolio optimization
- portfolio selection
- portfolio management
- problems involving
- factor analysis
- risk management
- stock market
- robust optimization
- stock exchange
- bi objective
- stock price
- optimization methods
- graphical models
- data mining
- random variables
- linear programming
- signal processing
- decision support system
- principal component analysis
- dynamic programming
- long term
- decision making