Risk-Aversion Adjusted Portfolio Optimization with Predictive Modeling.
Ran JiKC ChangZhenlong JiangPublished in: FUSION (2019)
Keyphrases
- predictive modeling
- portfolio optimization
- risk aversion
- risk averse
- portfolio management
- utility function
- expected utility
- portfolio selection
- factor analysis
- robust optimization
- problems involving
- risk management
- machine learning
- knowledge discovery
- data mining
- exchange rate
- optimization methods
- bi objective
- stock price
- stock market
- text mining
- stochastic programming
- stock exchange
- data analysis
- data mining techniques
- decision makers
- historical data
- optimization problems
- financial data
- news articles
- long term