Sparse portfolio selection with uncertain probability distribution.
Ripeng HuangShaojian QuXiaoguang YangFengmin XuZeshui XuWei ZhouPublished in: Appl. Intell. (2021)
Keyphrases
- portfolio selection
- probability distribution
- multistage stochastic
- portfolio optimization
- portfolio management
- random variables
- utility function
- robust optimization
- decision making
- financial markets
- bayesian networks
- multiple objectives
- high dimensional
- long term
- expert systems
- feature space
- software engineering
- decision problems