Portfolio Optimization with Nonparametric Value at Risk: A Block Coordinate Descent Method.
Xueting CuiXiaoling SunShushang ZhuRujun JiangDuan LiPublished in: INFORMS J. Comput. (2018)
Keyphrases
- portfolio optimization
- risk management
- portfolio management
- portfolio selection
- problems involving
- risk measures
- factor analysis
- investment decisions
- optimization methods
- stock market
- robust optimization
- stock price
- bi objective
- stock exchange
- simple and easy to implement
- sharpe ratio
- face recognition
- linear support vector machines
- linear svm
- financial markets
- multiple objectives
- evolutionary algorithm