A penalty decomposition algorithm for the extended mean-variance-CVaR portfolio optimization problem.
Abdelouahed HamdiTahereh KhodamoradiMaziar SalahiPublished in: Discret. Math. Algorithms Appl. (2024)
Keyphrases
- decomposition algorithm
- portfolio optimization
- portfolio selection
- working set
- robust optimization
- risk measures
- decomposition method
- problems involving
- portfolio management
- equality constraints
- bi objective
- working set selection
- stock market
- utility function
- risk management
- recognition algorithm
- stock exchange
- empirically derived
- objective function